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Forecasting and Trading High Frequency Volatility on Large Indices
16 references·0 citing·33 second hop
Forecasting and Trading High Frequency Volatility on Large Indices (2016)Forecasting and Trading High Frequency Vo…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Another look at measures of forecast accuracy (2006)Another look at measures of f…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesPower and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A 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 …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Forecasting principles and practiceForecasting principles and pr…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)Multivariate Simultaneous Generalized ARCH (1995)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)The Behavior of Stock-Market Prices (1965)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Expected Stock Returns and Variance Risk Premia (2009)A long memory property of stock market returns and a new model (1993)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)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)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)Automatic Time Series Forecasting: The forecast Package for R (2008)Statistical and Machine Learning forecasting methods: Concerns and ways forward (2018)Recurrent Neural Networks for Time Series Forecasting: Current status and future directions (2020)A Comparison of ARIMA and LSTM in Forecasting Time Series (2018)The Performance of LSTM and BiLSTM in Forecasting Time Series (2019)
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References

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  • 2006Another look at measures of forecast accuracy5,736 cited
  • n.d.Forecasting principles and practice4,364 cited
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  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 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
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
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A Tale of Two Time Scales
1,312 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
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