ChapterParametric and Nonparametric Volatility MeasurementTorben G. Andersen2010OAParametric and Nonparametric Volatility MeasurementTorben G. Andersen, Tim Bollerslev, Francis X. Diebold2010-01-01chapterElsevier eBooks520 citationsgreenNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingFinancial Markets and Investment StrategiesStochastic processes and financial applicationsAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 520 citations exist upstream.References1986Generalized autoregressive conditional heteroskedasticity1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1991Conditional Heteroskedasticity in Asset Returns: A New Approach1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options1985A Theory of the Term Structure of Interest Rates2007Brownian Motion and Stochastic Calculus2002Dynamic Conditional CorrelationCited by2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading2005A multiple indicators model for volatility using intra-daily data2010Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities2012Jump-robust volatility estimation using nearest neighbor truncation2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps2010Measuring and Modeling Variation in the Risk-Return Trade-off2005Consistent ranking of volatility models2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY