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Realized power variation and stochastic volatility models
16 references·16 citing·36 second hopsampled
Realized power variation and stochastic volatility models (2003)Realized power variation and stochastic v…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…The relation between implied and realized volatility (1998)The relation between implied …Differential equations driven by rough signals (1998)Differential equations driven…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…5 Stochastic volatility (1996)5 Stochastic volatilityA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (2016)Roughing up beta: Continuous …Tempered stable distributions and processes (2013)Tempered stable distributions…Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2012)Pricing variance and volatili…Volatility Jumps (2010)Volatility JumpsRealized jumps on financial markets and predicting credit spreads (2010)Realized jumps on financial m…Limit theorems for moving averages of discretized processes plus noise (2010)Limit theorems for moving ave…NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (2009)NONPARAMETRIC FILTERING OF TH…Bootstrapping Realized Volatility (2008)Bootstrapping Realized Volati…The information content of implied volatility in light of the jump/continuous decomposition of realized volatility (2007)The information content of im…Quantile forecasts of daily exchange rate returns from forecasts of realized volatility (2007)Quantile forecasts of daily e…Multifrequency news and stock returns☆ (2007)Multifrequency news and stock…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Power variation of some integral fractional processes (2006)Power variation of some integ…Limit theorems for multipower variation in the presence of jumps (2006)Limit theorems for multipower…Is there a risk–return trade‐off? Evidence from high‐frequency data (2006)Is there a risk–return trade‐…Limit theorems for bipower variations in financial econometricsLimit theorems for bipower va…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)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 Jump-Diffusion Model for Option Pricing (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Expected Stock Returns and Variance Risk Premia (2009)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2001The distribution of realized stock return volatility2,264 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
  • 2007Modelling Financial Time Series1,415 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 19965 Stochastic volatility1,189 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1998

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The relation between implied and realized volatility
1,114 cited
  • 1998Differential equations driven by rough signals1,077 cited
  • Cited by

    • 2007Differential Equations Driven by Rough Paths237 cited
    • 2006Limit theorems for multipower variation in the presence of jumps230 cited
    • 2010Realized jumps on financial markets and predicting credit spreads220 cited
    • 2010Volatility Jumps217 cited
    • 2016Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns179 cited
    • 2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH175 cited
    • 2006Is there a risk–return trade‐off? Evidence from high‐frequency data172 cited
    • 2008Bootstrapping Realized Volatility155 cited
    • 2007Multifrequency news and stock returns☆144 cited
    • n.d.Limit theorems for bipower variations in financial econometrics141 cited
    • 2007Quantile forecasts of daily exchange rate returns from forecasts of realized volatility127 cited
    • 2013Tempered stable distributions and processes120 cited
    • 2006Power variation of some integral fractional processes110 cited
    • 2012Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case102 cited
    • 2010Limit theorems for moving averages of discretized processes plus noise98 cited
    • 2007The information content of implied volatility in light of the jump/continuous decomposition of realized volatility98 cited