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High-frequency volatility of volatility estimation free from spot volatility estimates
16 references·0 citing·42 second hop
High-frequency volatility of volatility estimation free from spot volatility estimates (2015)High-frequency volatility of volatility e…A fourier transform method for nonparametric estimation of multivariate volatility (2012)A fourier transform method fo…Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Threshold bipower variation a…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…A Fourier transform method for nonparametric estimation of multivariate volatility (2009)A Fourier transform method fo…Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Microstructure Noise, Realize…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…Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (2007)Robustness of Fourier estimat…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Fourier series method for measurement of multivariate volatilities (2002)Fourier series method for mea…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Continuous Martingales and Brownian Motion (1999)Modeling and Forecasting Realized Volatility (2003)Parametric and Nonparametric Volatility Measurement (2010)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Exploiting the errors: A simple approach for improved volatility forecasting (2015)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Realized kernels in practice: trades and quotes (2009)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Expected stock returns and volatility (1987)Stochastic Integration and Differential Equations (2005)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Statistical analysis of cointegration vectors (1988)The Model-Free Implied Volatility and Its Information Content (2005)MIDAS Regressions: Further Results and New Directions (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 2008Microstructure Noise, Realized Variance, and Optimal Sampling598 cited
  • 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 2002Fourier series method for measurement of multivariate volatilities230 cited
  • 2012A fourier transform method for nonparametric estimation of multivariate volatility138 cited

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  • 2009A Fourier transform method for nonparametric estimation of multivariate volatility119 cited
  • 2007Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise92 cited
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