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Are volatility estimators robust with respect to modeling assumptions?
16 references·15 citing·43 second hop
Are volatility estimators robust with respect to modeling assumptions? (2007)Are volatility estimators robust with res…Microstructure noise, realized volatility, and optimal sampling (2008)Microstructure noise, realize…Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…ANOVA for diffusions and Itô processes (2006)ANOVA for diffusions and Itô …How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesLimit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…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 …A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000)A study towards a unified app…Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance (1999)Using Daily Range Data to Cal…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…A Central Limit Theorem for Normalized Functions of the Increments of a Diffusion Process, in the Presence of Round-Off Errors (1997)A Central Limit Theorem for N…High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)High-Frequency Data and Volat…22 Modeling market microstructure time series (1996)22 Modeling market microstruc…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading (2017)Econometric analysis of multi…ON THE ESTIMATION OF INTEGRATED COVARIANCE MATRICES OF HIGH DIMENSIONAL DIFFUSION PROCESSES1 (2016)ON THE ESTIMATION OF INTEGRAT…Efficient estimation of integrated volatility incorporating trading information (2016)Efficient estimation of integ…Rounding Errors and Volatility Estimation (2014)Rounding Errors and Volatilit…Volatility inference in the presence of both endogenous time and microstructure noise (2013)Volatility inference in the p…Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method (2013)Robust Estimation and Inferen…Forecasting Volatility Using High-Frequency Data (2012)Forecasting Volatility Using …Estimating quadratic variation when quoted prices change by a constant increment (2010)Estimating quadratic variatio…A new microstructure noise index (2010)A new microstructure noise in…Quadratic Variation by Markov Chains (2009)Quadratic Variation by Markov…Integrated volatility and round-off error (2009)Integrated volatility and rou…Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations (2009)Estimating Volatility in the …Parametric and nonparametric models and methods in financial econometrics (2008)Parametric and nonparametric …Limit Theorems for Moving Averages of Discretized Processes Plus Noise (2008)Limit Theorems for Moving Ave…Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise (2005)Ultra High Frequency Volatili…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Empirical exchange rate models of the seventies (1983)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Parametric and Nonparametric Volatility Measurement (2010)A Theory of the Term Structure of Interest Rates (1985)Generalized autoregressive conditional heteroskedasticity (1986)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)On estimating the expected return on the market (1980)Modeling and Forecasting Realized Volatility (2003)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)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)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Brownian Motion and Stochastic Calculus (2007)Realized Volatility: A Review (2008)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Expected stock returns and volatility (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)Realized Variance and Market Microstructure Noise (2006)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2003Limit Theorems for Stochastic Processes2,529 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
  • 2005A Tale of Two Time Scales1,312 cited
  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
  • 1996High-Frequency Data and Volatility in Foreign-Exchange Rates570 cited
  • 2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation554 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 1999Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance267 cited
  • 2006ANOVA for diffusions and Itô processes139 cited
  • 1997A Central Limit Theorem for Normalized Functions of the Increments of a Diffusion Process, in the Presence of Round-Off Errors121 cited

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  • 199622 Modeling market microstructure time series107 cited
  • 2008Microstructure noise, realized volatility, and optimal sampling87 cited
  • Cited by

    • 2016ON THE ESTIMATION OF INTEGRATED COVARIANCE MATRICES OF HIGH DIMENSIONAL DIFFUSION PROCESSES152 cited
    • 2009Integrated volatility and round-off error52 cited
    • 2010Estimating quadratic variation when quoted prices change by a constant increment43 cited
    • 2016Efficient estimation of integrated volatility incorporating trading information42 cited
    • 2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading41 cited
    • 2005Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise40 cited
    • 2009Quadratic Variation by Markov Chains40 cited
    • 2012Forecasting Volatility Using High-Frequency Data39 cited
    • 2013Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method35 cited
    • 2008Limit Theorems for Moving Averages of Discretized Processes Plus Noise32 cited
    • 2010A new microstructure noise index31 cited
    • 2008Parametric and nonparametric models and methods in financial econometrics28 cited
    • 2013Volatility inference in the presence of both endogenous time and microstructure noise27 cited
    • 2014Rounding Errors and Volatility Estimation27 cited
    • 2009Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations25 cited