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Power and Bipower Variation with Stochastic Volatility and Jumps

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References

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Cited by

2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
2006Realized Variance and Market Microstructure Noise1,164 cited
2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
2005The Relative Contribution of Jumps to Total Price Variance

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2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited

2011Tails, Fears, and Risk Premia814 cited

2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited

2014The VIX, the variance premium and stock market volatility812 cited

2008Microstructure noise in the continuous case: The pre-averaging approach692 cited

2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited

2022Finance and Economics Discussion Series609 cited

2009Testing for jumps in a discretely observed process587 cited

2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms572 cited

2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited

2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited