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Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
16 references·16 citing·32 second hopsampled
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (2004)Correcting the Errors: Volatility Forecas…International Economic Review (2010)International Economic ReviewStochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Alternative models for stock price dynamics (2003)Alternative models for stock …Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…An Empirical Investigation of Continuous‐Time Equity Return Models (2002)An Empirical Investigation of…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…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Forecasting oil price realized volatility using information channels from other asset classes (2017)Forecasting oil price realize…Forecasting realized volatility in a changing world: A dynamic model averaging approach (2015)Forecasting realized volatili…The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship (2014)The Impact of Oil Price Shock…The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (2013)The Effects of Oil Price Shoc…The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010)The Term Structure of Varianc…Realized volatility forecasting and market microstructure noise (2010)Realized volatility forecasti…A reduced form framework for modeling volatility of speculative prices based on realized variation measures (2010)A reduced form framework for …On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements (2009)On the Volatility and Comovem…Evaluating Volatility and Correlation Forecasts (2009)Evaluating Volatility and Cor…Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2008)Roughing it Up: Including Jum…Bootstrapping Realized Volatility (2008)Bootstrapping Realized Volati…Properties of Realized Variance Under Alternative Sampling Schemes (2006)Properties of Realized Varian…No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (2006)No-arbitrage semi-martingale …Is there a risk–return trade‐off? Evidence from high‐frequency data (2006)Is there a risk–return trade‐…Volatility puzzles: a simple framework for gauging return-volatility regressions (2005)Volatility puzzles: a simple …Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2005)Roughing it Up: Including Jum…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)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)The Cross‐Section of Volatility and Expected Returns (2006)The Behavior of Stock-Market Prices (1965)Introductory Econometrics for Finance (2008)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)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Expected stock returns and volatility (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 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
  • 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
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 2010International Economic Review911 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 2003

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Alternative models for stock price dynamics
893 cited
  • 2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
  • Cited by

    • 2008Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility318 cited
    • 2006No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications301 cited
    • 2015Forecasting realized volatility in a changing world: A dynamic model averaging approach292 cited
    • 2014The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship287 cited
    • 2017Forecasting oil price realized volatility using information channels from other asset classes284 cited
    • 2005Volatility puzzles: a simple framework for gauging return-volatility regressions263 cited
    • 2010Realized volatility forecasting and market microstructure noise255 cited
    • 2009Evaluating Volatility and Correlation Forecasts244 cited
    • 2010A reduced form framework for modeling volatility of speculative prices based on realized variation measures239 cited
    • 2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments238 cited
    • 2013The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data186 cited
    • 2009On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements175 cited
    • 2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility174 cited
    • 2006Is there a risk–return trade‐off? Evidence from high‐frequency data172 cited
    • 2006Properties of Realized Variance Under Alternative Sampling Schemes169 cited
    • 2008Bootstrapping Realized Volatility155 cited