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On measuring volatility of diffusion processes with high frequency data
16 references·4 citing·29 second hop
On measuring volatility of diffusion processes with high frequency data (2002)On measuring volatility of diffusion proc…Temporal aggregation of volatility models (2003)Temporal aggregation of volat…Fourier series method for measurement of multivariate volatilities (2002)Fourier series method for mea…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Augmented GARCH (p,q) process and its diffusion limit (1997)Augmented GARCH (p,q) process…Closing the GARCH gap: Continuous time GARCH modeling (1996)Closing the GARCH gap: Contin…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…Stock Market Volatility (1990)Stock Market VolatilityStatistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Statistical study of foreign …ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS (2008)NONPARAMETRIC ESTIMATION OF T…Finite sample accuracy and choice of sampling frequency in integrated volatility estimation (2007)Finite sample accuracy and ch…Dynamics of intraday serial correlation in the Italian futures market (2005)Dynamics of intraday serial c…Integrated volatility measuring from unevenly sampled observations (2004)Integrated volatility measuri…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing Continuous-Time Models of the Spot Interest Rate (1996)Alternative models for stock price dynamics (2003)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Alternative models for conditional stock volatility (1990)Stock Prices and Volume (1992)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Monetary History of the United States, 1867-1960 (2017)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)Dynamic Volume-Return Relation of Individual Stocks (2002)Efficiency and the Bear: Short Sales and Markets Around the World (2007)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)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Bayesian Analysis of Stochastic Volatility Models (1994)Parametric and Nonparametric Volatility Measurement (2010)Does realized skewness predict the cross-section of equity returns? (2015)Asymmetric volatility transmission in international stock markets (1995)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)What good is a volatility model? (2001)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 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
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis482 cited
  • 1990Stock Market Volatility384 cited
  • 1997Augmented GARCH (p,q) process and its diffusion limit370 cited
  • 2002Fourier series method for measurement of multivariate volatilities230 cited
  • 1996Closing the GARCH gap: Continuous time GARCH modeling

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223 cited
  • 2003Temporal aggregation of volatility models215 cited
  • Cited by

    • 2004Integrated volatility measuring from unevenly sampled observations63 cited
    • 2008NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS48 cited
    • 2005Dynamics of intraday serial correlation in the Italian futures market34 cited
    • 2007Finite sample accuracy and choice of sampling frequency in integrated volatility estimation34 cited