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Periodicity in Cryptocurrency Volatility and Liquidity
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Periodicity in Cryptocurrency Volatility and Liquidity (2022)Periodicity in Cryptocurrency Volatility …Jump-robust volatility estimation using nearest neighbor truncation (2012)Jump-robust volatility estima…Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Does Anything Beat 5-Minute R…Realized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…Low-Latency Trading (2011)Low-Latency TradingHigh-frequency trading in a limit order book (2008)High-frequency trading in a l…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…New frontiers for arch models (2002)New frontiers for arch modelsIlliquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Periodic Autoregressive Conditional Heteroscedasticity (1996)Periodic Autoregressive Condi…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)High Frequency Trading and the New-Market Makers (2012)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)Expected stock returns and volatility (1987)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)The Pricing of Options and Corporate Liabilities (1973)There is a risk-return trade-off after all (2005)Stock Market Volatility and Macroeconomic Fundamentals (2012)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 2011Low-Latency Trading880 cited
  • 2002New frontiers for arch models739 cited
  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
  • 2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes629 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2012Jump-robust volatility estimation using nearest neighbor truncation

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449 cited
  • 1996Periodic Autoregressive Conditional Heteroscedasticity376 cited
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