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Intraday Periodic Volatility Curves
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Intraday Periodic Volatility Curves (2023)Intraday Periodic Volatility CurvesTesting for jumps in noisy high frequency data (2011)Testing for jumps in noisy hi…Functional data analysis for volatility (2011)Functional data analysis for …Discretization of Processes (2011)Discretization of ProcessesRobust estimation of intraweek periodicity in volatility and jump detection (2010)Robust estimation of intrawee…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2008)Estimation of continuous-time…Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…The incremental volatility information in one million foreign exchange quotations (1997)The incremental volatility in…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Statistical study of foreign …A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Turbulent cascades in foreign exchange markets (1996)High frequency data in financial markets: Issues and applications (1997)A test for volatility spillover with application to exchange rates (2001)The econometrics of ultra-high frequency data /Stock returns and the weekend effect (1980)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)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)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 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References

  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks534 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 2011Discretization of Processes486 cited
  • 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis482 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 1997The incremental volatility information in one million foreign exchange quotations346 cited
  • 2010Robust estimation of intraweek periodicity in volatility and jump detection188 cited
  • 2011Testing for jumps in noisy high frequency data141 cited

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  • 2008Estimation of continuous-time stochastic volatility models with jumps using high-frequency data109 cited
  • 2011Functional data analysis for volatility104 cited
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