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Modeling tick-by-tick realized correlations
16 references·1 citing·41 second hop
Modeling tick-by-tick realized correlations (2009)Modeling tick-by-tick realized correlatio…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…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…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…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 stock return volatility (2001)The distribution of realized …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…Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…Long memory and regime switching (2001)Long memory and regime switch…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…A novel UMIDAS-SVQR model with mixed frequency investor sentiment for predicting stock market volatility (2019)A novel UMIDAS-SVQR model wit…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)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)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)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Expected Stock Returns and Variance Risk Premia (2009)A long memory property of stock market returns and a new model (1993)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)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)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Econometrics of Financial Markets (2012)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)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)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)
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References

  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 2001The distribution of realized stock return volatility2,264 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
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
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  • 2001Long memory and regime switching1,162 cited
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  • 2001Modeling and Forecasting Realized Volatility

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824 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
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    • 2019A novel UMIDAS-SVQR model with mixed frequency investor sentiment for predicting stock market volatility31 cited