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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
16 references·2 citing·36 second hop
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (2016)Unified discrete-time and continuous-time…Realized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Realising the future: forecas…Quasi-maximum likelihood estimation of volatility with high frequency data (2010)Quasi-maximum likelihood esti…Microstructure noise in the continuous case: The pre-averaging approach (2008)Microstructure noise in the c…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (2007)Multi-Scale Jump and Volatili…Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesA multiple indicators model for volatility using intra-daily data (2005)A multiple indicators model f…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Asymptotic nonequivalence of GARCH models and diffusions (2002)Asymptotic nonequivalence of …Option Pricing in ARCH‐type Models (1998)Option Pricing in ARCH‐type M…Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Volatility analysis with realized GARCH-Itô models (2020)Volatility analysis with real…Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (2018)Large volatility matrix estim…ARCH modeling in finance (1992)Quadratic ARCH Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Testing Continuous-Time Models of the Spot Interest Rate (1996)Alternative models for stock price dynamics (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Realized kernels in practice: trades and quotes (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Limit Theorems for Stochastic Processes (2003)Realized Volatility: A Review (2008)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate high‐frequency‐based volatility (HEAVY) models (2011)Exponential GARCH Modeling With Realized Measures of Volatility (2015)Artificial intelligence and machine learning in finance: A bibliometric review (2022)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 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
  • 1990ARCH models as diffusion approximations943 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
  • 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 2005A multiple indicators model for volatility using intra-daily data487 cited
  • 2010Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models436 cited
  • 2010Quasi-maximum likelihood estimation of volatility with high frequency data280 cited
  • 2007Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data241 cited

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  • 2002Asymptotic nonequivalence of GARCH models and diffusions104 cited
  • 1998Option Pricing in ARCH‐type Models102 cited
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    • 2020Volatility analysis with realized GARCH-Itô models49 cited
    • 2018Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data30 cited