SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES
16 references·3 citing·39 second hop
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES (2013)EFFICIENT ESTIMATION OF INTEGRATED VOLATI…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Estimating quadratic variation using realized variance (2002)Estimating quadratic variatio…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…Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Point Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)On Estimating the Expected Re…On estimating the expected return on the market (1980)On estimating the expected re…Estimation for high-frequency data under parametric market microstructure noise (2020)Estimation for high-frequency…Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (2019)Testing if the market microst…Functional stable limit theorems for quasi-efficient spectral covolatility estimators (2015)Functional stable limit theor…Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Behavior of Stock-Market Prices (1965)Generalized autoregressive conditional heteroskedasticity (1986)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)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)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)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2003Limit Theorems for Stochastic Processes2,529 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
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 2001Modeling and Forecasting Realized Volatility824 cited
  • 1980On Estimating the Expected Return on the Market: An Exploratory Investigation755 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited

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

  • 2002Estimating quadratic variation using realized variance618 cited
  • Cited by

    • 2020Estimation for high-frequency data under parametric market microstructure noise27 cited
    • 2015Functional stable limit theorems for quasi-efficient spectral covolatility estimators23 cited
    • 2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book22 cited