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Estimation of integrated volatility in stochastic volatility models
16 references·5 citing·33 second hop
Estimation of integrated volatility in stochastic volatility models (2005)Estimation of integrated volatility in st…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 …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…The predictive ability of several models of exchange rate volatility (1995)The predictive ability of sev…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …A long memory property of stock market returns and a new model (1993)A long memory property of sto…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Asymptotic Theory of Range-Based Multipower Variation (2012)Asymptotic Theory of Range-Ba…Estimation of the instantaneous volatility (2011)Estimation of the instantaneo…Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets (2009)Frequency of observation and …Bipower Variation for Gaussian Processes with Stationary Increments (2009)Bipower Variation for Gaussia…Inference in Lévy-type stochastic volatility models (2007)Inference in Lévy-type stocha…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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Optimum consumption and portfolio rules in a continuous-time model (1971)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)Why Does Stock Market Volatility Change Over Time? (1989)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)Expected stock returns and volatility (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)
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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
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1993A long memory property of stock market returns and a new model3,257 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
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 1999The Distribution of Exchange Rate Volatility462 cited
  • 1999

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Essentials of Stochastic Finance
412 cited
  • 1995The predictive ability of several models of exchange rate volatility371 cited
  • Cited by

    • 2012Asymptotic Theory of Range-Based Multipower Variation38 cited
    • 2007Inference in Lévy-type stochastic volatility models36 cited
    • 2011Estimation of the instantaneous volatility36 cited
    • 2009Bipower Variation for Gaussian Processes with Stationary Increments33 cited
    • 2009Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets28 cited