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Modeling tick-by-tick realized correlations · Study

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ArticleModeling tick-by-tick realized correlations

Francesco Audrino2009

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Articlegreen2009

Modeling tick-by-tick realized correlations

Francesco Audrino · Fulvio Corsi

43 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

2003Liquidity Risk and Expected Stock Returns 2003Modeling and Forecasting Realized Volatility 2008A Simple Approximate Long-Memory Model of Realized Volatility 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 2001The distribution of realized stock return volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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2019A novel UMIDAS-SVQR model with mixed frequency investor sentiment for predicting stock market volatility

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2007Realized Correlation Tick-By-Tickpreprint · 17 shared references 2014Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimationarticle · 16 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 14 shared references 2012Forecasting Volatility Using High-Frequency Datachapter · 13 shared references 2008The Volatility of Realized Volatilityarticle · 12 shared references 2012Realizing smiles: Options pricing with realized volatilityarticle · 12 shared references

Details

Year2009

Typearticle

Published2009-10-09

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations43

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2009.09.033

openalex_workW3125830245

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