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Efficient estimation of integrated volatility functionals via multiscale jackknife
16 references·0 citing·45 second hopsampled
Efficient estimation of integrated volatility functionals via multiscale jackknife (2018)Efficient estimation of integrated volati…Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)Using principal component ana…Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Multivariate realised kernels…Discretization of Processes (2011)Discretization of ProcessesHigh-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (2010)High-Frequency Covariance Est…NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (2009)NONPARAMETRIC FILTERING OF TH…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…Estimating Covariation: Epps Effect, Microstructure Noise (2006)Estimating Covariation: Epps …On covariance estimation of non-synchronously observed diffusion processes (2005)On covariance estimation of n…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesEconometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Transform Analysis and Asset …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)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? 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New Evidence from the Credit Default Swap Market (2004)
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References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 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
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2001Modeling and Forecasting Realized Volatility824 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions598 cited
  • 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
  • 2011Discretization of Processes486 cited
  • 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
  • 2006Estimating Covariation: Epps Effect, Microstructure Noise326 cited
  • 2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data280 cited
  • 2017

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Using principal component analysis to estimate a high dimensional factor model with high-frequency data
220 cited
  • 2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH175 cited
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