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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
16 references·2 citing·25 second hop
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (2018)Factor GARCH-Itô models for high-frequenc…Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Multivariate realised kernels…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…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 Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…The variation of certain speculative prices (1997)The variation of certain spec…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Introspecting predictability of market fear in Indian context during COVID-19 pandemic: An integrated approach of applied predictive modelling and explainable AI (2021)Introspecting predictability …Estimation of Large Dimensional Conditional Factor Models in Finance (2019)Estimation of Large Dimension…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Panels with Nonstationary Multifactor Error Structures (2006)Exploring the international linkages of the euro area: a global VAR analysis (2007)U.S. Monetary Policy and the Global Financial Cycle (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Macroeconomic Forecasting Using Diffusion Indexes (2002)A PANIC Attack on Unit Roots and Cointegration (2004)Measuring Uncertainty (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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 PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

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538 cited
  • 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
  • Cited by

    • 2021Introspecting predictability of market fear in Indian context during COVID-19 pandemic: An integrated approach of applied predictive modelling and explainable AI39 cited
    • 2019Estimation of Large Dimensional Conditional Factor Models in Finance35 cited