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Adaptive robust large volatility matrix estimation based on high-frequency financial data
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Adaptive robust large volatility matrix estimation based on high-frequency financial data (2023)Adaptive robust large volatility matrix e…Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Multivariate realised kernels…Discretization of Processes (2011)Discretization of ProcessesThreshold bipower variation and the impact of jumps on volatility forecasting (2010)Threshold bipower variation a…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…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesInferential Theory for Factor Models of Large Dimensions (2003)Inferential Theory for Factor…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)New Indexes of Coincident and Leading Economic Indicators (1989)Transition Modeling and Econometric Convergence Tests (2007)Macroeconomic Forecasting Using Diffusion Indexes (2002)Measuring Uncertainty (2015)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)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)Specification Tests in Econometrics (1978)Realized Variance and Market Microstructure Noise (2006)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)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)Theory of rational option pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Distribution of Realized Exchange Rate Volatility (2001)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Option pricing when underlying stock returns are discontinuous (1976)Modeling and Forecasting Realized Volatility (2003)The VIX, the variance premium and stock market volatility (2014)
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References

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  • 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
  • 2011Discretization of Processes486 cited
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