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A filtering approach to tracking volatility from prices observed at random times
9 references·0 citing·34 second hop
A filtering approach to tracking volatility from prices observed at random times (2006)A filtering approach to tracking volatili…Fourier series method for measurement of multivariate volatilities (2002)Fourier series method for mea…Statistics of Random Processes (2001)Statistics of Random ProcessesA NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA (2001)A NONLINEAR FILTERING APPROAC…Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions (1998)Reprojecting Partially Observ…Drift and volatility estimation in discrete time (1998)Drift and volatility estimati…Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility (1997)Derivative Asset Analysis in …ARCH Models and Financial Applications (1997)ARCH Models and Financial App…Theory of Martingales (1989)Theory of MartingalesLimit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Designing realised kernels to measure the ex-post variation of equity prices in the presence of noiseStochastic Analysis (1997)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Choosing the Best Volatility Models: The Model Confidence Set Approach* (2003)Econophysics review: I. Empirical facts (2011)The Econometrics of Financial Markets (2012)Macroeconomics and Reality (1980)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Multivariate Stochastic Volatility (2009)Risk factors in oil and gas industry returns: International evidence (2010)A comparison of inflation forecasts (1984)A hidden Markov regime-switching model for option valuation (2010)A BSDE approach to risk-based asset allocation of pension funds with regime switching (2012)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Jump-Diffusion Models (2003)PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION (2009)A filtering approach to tracking volatility from prices observed at random timesFinancial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment (1999)PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (2002)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Mixed Fractional Brownian Motion (2001)Arbitrage in fractional Brownian motion models (2003)Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality (2008)Modelling Nonlinear Economic Time Series (2010)Robust control and model misspecification (2006)Asset Prices and Exchange Rates (2007)An Institutional Theory of Momentum and Reversal (2013)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1989Theory of Martingales956 cited
  • 2001Statistics of Random Processes514 cited
  • 1997ARCH Models and Financial Applications397 cited
  • 2002Fourier series method for measurement of multivariate volatilities230 cited
  • 1998Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions207 cited
  • 2001A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA100 cited
  • 1997Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility50 cited
  • 1998Drift and volatility estimation in discrete time45 cited

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