SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns
16 references·0 citing·40 second hop
A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns (2014)A Bayesian High-Frequency Estimator of th…How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesThe economic value of volatility timing using “realized” volatility (2003)The economic value of volatil…Stochastic Differential Equations (2003)Stochastic Differential Equat…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)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)The Analysis of Economic Time-Series-Part I: Prices (1953)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)International Stock Return Comovements (2005)High dimensional covariance matrix estimation using a factor model (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 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
  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2001Modeling and Forecasting Realized Volatility

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

824 cited
  • 2003The economic value of volatility timing using “realized” volatility668 cited
  • Cited by

    No citing works inside the corpus for this window.