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Estimation of integrated quadratic covariation with endogenous sampling times
16 references·0 citing·41 second hop
Estimation of integrated quadratic covariation with endogenous sampling times (2016)Estimation of integrated quadratic covari…Jump-robust volatility estimation using nearest neighbor truncation (2012)Jump-robust volatility estima…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 ProcessesHigh-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (2010)High-Frequency Covariance Est…Estimating Covariation: Epps Effect, Microstructure Noise (2006)Estimating Covariation: Epps …On covariance estimation of non-synchronously observed diffusion processes (2005)On covariance estimation of n…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)From the bird's eye to the mi…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Comovements in Stock Prices in the Very Short Run (1979)Comovements in Stock Prices i…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The Variation of Certain Speculative Prices (1963)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Institutional Investors and Stock Market Volatility (2006)Social physics (2022)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)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Multivariate Simultaneous Generalized ARCH (1995)Stochastic Integration and Differential Equations (2005)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)The Econometrics of Financial Markets (2012)Vast Portfolio Selection With Gross-Exposure Constraints (2012)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)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)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)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)Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns (2016)Principal Component Analysis of High-Frequency Data (2017)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
  • 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
  • 1979Comovements in Stock Prices in the Very Short Run464 cited
  • 2012Jump-robust volatility estimation using nearest neighbor truncation449 cited
  • 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 2006

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Estimating Covariation: Epps Effect, Microstructure Noise
326 cited
  • 2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data280 cited
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