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Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
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References

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  • 2003Modeling and Forecasting Realized Volatility3,887 cited
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  • 2006Realized Variance and Market Microstructure Noise1,164 cited
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  • 1967A Compound Events Model for Security Prices441 cited
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  • 1966Market Making and Reversal on the Stock Exchange371 cited
  • 2002Estimating daily volatility in financial markets utilizing intraday data

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139 cited

Cited by

  • 2010Covariance measurement in the presence of non-synchronous trading and market microstructure noise124 cited
  • 2010Subsampling realised kernels115 cited
  • 2004Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise112 cited
  • 2009Forecasting realized volatility: a Bayesian model‐averaging approach107 cited
  • 2010Volatility forecasting and microstructure noise101 cited
  • 2008Using High-Frequency Data in Dynamic Portfolio Choice96 cited
  • 2010Variance dynamics: Joint evidence from options and high-frequency returns93 cited
  • 2010Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations88 cited
  • 2007The Effect of Long Memory in Volatility on Stock Market Fluctuations88 cited
  • 2008Are There Structural Breaks in Realized Volatility?86 cited
  • 2008Moving Average-Based Estimators of Integrated Variance82 cited
  • 2008Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?81 cited
  • 2013Realized volatility spillovers in the non-ferrous metal futures market76 cited
  • 2008Realized volatility forecasting and option pricing69 cited
  • 2006Statistical mechanics of socio-economic systems with heterogeneous agents68 cited
  • 2009Bias-correcting the realized range-based variance in the presence of market microstructure noise46 cited