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An Unbiased Measure of Realized Variance · Study

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PreprintAn Unbiased Measure of Realized Variance

Peter Reinhard Hansen2004

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Preprintgreen2004

An Unbiased Measure of Realized Variance

Peter Reinhard Hansen · Asger Lunde

66 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1987Expected stock returns and volatility 2003Modeling and Forecasting Realized Volatility 1987The Pricing of Options on Assets with Stochastic Volatilities 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2001The distribution of realized stock return volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

Cited by

2004Properties of realized variance for a pure jump process: calendar time sampling versus business time sampling 2005Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 2010Discrete sine transform for multi-scale realized volatility measures 2016Forecasting the realized volatility in the Chinese stock market: further evidence 2007When Is Noise Not Noise – A Microstructure Estimate of Realized Volatility

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2007Finite sample accuracy and choice of sampling frequency in integrated volatility estimationarticle · 19 shared references 2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometricspreprint · 18 shared references 2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatilitypreprint · 16 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 15 shared references 2005Volatility Forecastingreport · 14 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 14 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations66

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.524602

openalex_workW2238644309

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2006Multivariate Realized Stock Market Volatility

2011Volatility and covariation of financial assets: A high-frequency analysis

2010Best Quadratic Unbiased Estimators of Integrated Variance in the Presence of Market Microstructure Noise