SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Realized Volatility · Study

ChapterShelves

ChapterRealized Volatility

Torben G. Andersen2009

Chapter2009

Realized Volatility

Torben G. Andersen · Timo Teräsvirta Y

124 citations·0/0 files stored·Springer eBooks

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 124 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 2006The Cross‐Section of Volatility and Expected Returns 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1980On estimating the expected return on the market 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Cited by

2015Gold, Oil, and Stocks: Dynamic Correlations 2011Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios 2018The VIX Premium 2018Small Innovators: No Risk, No Return 2012Technological Innovation, Resource Allocation, and Growth 2014

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2009Stochastic Volatilityother · 42 shared references 2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometricspreprint · 31 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 29 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 26 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 26 shared references 2005Volatility Forecastingreport · 25 shared references

Details

Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations124

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1007/978-3-540-71297-8_24

openalex_workW4211253574

Links

Imported from OpenAlex (CC0) — nothing here is generated.

Recent results in the theory and applications of CARMA processes

2014Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility

2022Deep learning for volatility forecasting in asset management