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ANOVA for diffusions and Itô processes
14 references·16 citing·42 second hop
ANOVA for diffusions and Itô processes (2006)ANOVA for diffusions and Itô processesEfficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesEconometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Stochastic Volatility Models as Hidden Markov Models and Statistical Applications (2000)Stochastic Volatility Models …Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…Continuous Record Asymptotics for Rolling Sample Variance Estimators (1996)Continuous Record Asymptotics…On estimating the diffusion coefficient from discrete observations (1993)On estimating the diffusion c…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…ON CONTINUOUS MARTINGALES (1965)ON CONTINUOUS MARTINGALESHigh-frequency factor models and regressions (2020)High-frequency factor models …A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data (2016)A Hausman Test for the Presen…Spot volatility estimation using delta sequences (2015)Spot volatility estimation us…The Estimation of Leverage Effect With High-Frequency Data (2013)The Estimation of Leverage Ef…REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013)REALIZED VOLATILITY WHEN SAMP…The econometrics of high-frequency data (2012)The econometrics of high-freq…The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures (2012)The Analysis of Stochastic Vo…A fourier transform method for nonparametric estimation of multivariate volatility (2012)A fourier transform method fo…Irregular sampling and central limit theorems for power variations: The continuous case (2011)Irregular sampling and centra…Subsampling realised kernels (2010)Subsampling realised kernelsPre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (2010)Pre-averaging estimators of t…Edgeworth expansions for realized volatility and related estimators (2010)Edgeworth expansions for real…A Fourier transform method for nonparametric estimation of multivariate volatility (2009)A Fourier transform method fo…Fisher's Information for Discretely Sampled Lvy Processes (2008)Fisher's Information for Disc…Are volatility estimators robust with respect to modeling assumptions? (2007)Are volatility estimators rob…Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2004)Designing Realised Kernels to…Limit Theorems for Stochastic Processes (1987)Stochastic Integration and Differential Equations (1990)Realized Variance and Market Microstructure Noise (2004)Stochastic Integration and Differential Equations (2005)Estimating Covariation: Epps Effect, Microstructure Noise (2006)Ultra high frequency volatility estimation with dependent microstructure noise (2010)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)The Distribution of Realized Exchange Rate Volatility (2001)Realized Variance and Market Microstructure Noise (2006)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Limit Theorems for Stochastic Processes (2003)Brownian Motion and Stochastic Calculus (2007)Realized Volatility: A Review (2008)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Option hedging for semimartingales (1991)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Dynamic Asset Pricing Theory. 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this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
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  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2005A Tale of Two Time Scales1,312 cited
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  • 1993On estimating the diffusion coefficient from discrete observations258 cited
  • 2000Stochastic Volatility Models as Hidden Markov Models and Statistical Applications230 cited
  • 1965ON CONTINUOUS MARTINGALES175 cited

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  • 2012

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A fourier transform method for nonparametric estimation of multivariate volatility
138 cited
  • 2009A Fourier transform method for nonparametric estimation of multivariate volatility119 cited
  • 2010Subsampling realised kernels115 cited
  • 2004Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise112 cited
  • 2013The Estimation of Leverage Effect With High-Frequency Data100 cited
  • 2012The econometrics of high-frequency data90 cited
  • 2013REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS88 cited
  • 2016A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data87 cited
  • 2020High-frequency factor models and regressions78 cited
  • 2012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures78 cited
  • 2007Are volatility estimators robust with respect to modeling assumptions?77 cited
  • 2008Fisher's Information for Discretely Sampled Lvy Processes72 cited
  • 2010Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data69 cited
  • 2010Edgeworth expansions for realized volatility and related estimators67 cited
  • 2011Irregular sampling and central limit theorems for power variations: The continuous case58 cited
  • 2015Spot volatility estimation using delta sequences55 cited