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Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data
16 references·2 citing·42 second hop
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data (2015)Fourier Spot Volatility Estimator: Asympt…Parametric and Nonparametric Volatility Measurement (2010)Parametric and Nonparametric …Realized kernels in practice: trades and quotes (2009)Realized kernels in practice:…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Separating microstructure noise from volatility (2005)Separating microstructure noi…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesA Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…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 …Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…A Rational Route to Randomness (1997)A Rational Route to RandomnessAnts, Rationality, and Recruitment (1993)Ants, Rationality, and Recrui…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Comovements in Stock Prices in the Very Short Run (1979)Comovements in Stock Prices i…From bond yield to macroeconomic instability: A parsimonious affine model (2017)From bond yield to macroecono…Borderline: Judging the Adequacy of Return Distribution Estimation Techniques in Initial Margin Models (2017)Borderline: Judging the Adequ…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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized GARCH: a joint model for returns and realized measures of volatility (2011)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)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)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)Heterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 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
  • 1997A Rational Route to Randomness1,724 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 1993Ants, Rationality, and Recruitment986 cited
  • 2009Realized kernels in practice: trades and quotes642 cited
  • 2005Separating microstructure noise from volatility635 cited
  • 2010Parametric and Nonparametric Volatility Measurement

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520 cited
  • 1979Comovements in Stock Prices in the Very Short Run464 cited
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    • 2017From bond yield to macroeconomic instability: A parsimonious affine model20 cited
    • 2017Borderline: Judging the Adequacy of Return Distribution Estimation Techniques in Initial Margin Models20 cited