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LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
16 references·6 citing·37 second hop
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS (2006)LIMIT THEOREMS FOR BIPOWER VARIATION IN F…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesPower and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…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…Expected stock returns and volatility (1987)Expected stock returns and vo…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On estimating the expected return on the market (1980)On estimating the expected re…Efficient estimation of integrated volatility incorporating trading information (2016)Efficient estimation of integ…Ambit Processes and Stochastic Partial Differential Equations (2011)Ambit Processes and Stochasti…Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation (2010)Jump-Robust Volatility Estima…Duration-Based Volatility Estimation (2009)Duration-Based Volatility Est…Positive-definite matrix processes of finite variation (2007)Positive-definite matrix proc…A New Test for Jumps in Asset Prices (2005)A New Test for Jumps in Asset…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Illiquidity and stock returns: cross-section and time-series effects (2002)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1980On estimating the expected return on the market2,818 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
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited

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  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
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    • 2016Efficient estimation of integrated volatility incorporating trading information42 cited
    • 2005A New Test for Jumps in Asset Prices37 cited
    • 2010Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation31 cited