Bridge homogeneous volatility estimators
Author
Abstract
Suggested Citation
DOI: 10.1080/14697688.2013.819985
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013.
"Modelling microstructure noise with mutually exciting point processes,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
- Lapinova, S. & Saichev, A. & Tarakanova, M., 2013. "Efficiency and probabilistic properties of bridge volatility estimator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1439-1451.
- Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003.
"Modeling and Forecasting Realized Volatility,"
Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
- Fulvio Corsi & Gilles Zumbach & Ulrich A. Muller & Michel M. Dacorogna, 2001.
"Consistent High-precision Volatility from High-frequency Data,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 183-204, July.
- Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004. "Consistent high-precision volatility from high-frequency data," Finance 0407005, University Library of Munich, Germany.
- Yang, Dennis & Zhang, Qiang, 2000. "Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices," The Journal of Business, University of Chicago Press, vol. 73(3), pages 477-491, July.
- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
- Chan, Leo & Lien, Donald, 2003. "Using high, low, open, and closing prices to estimate the effects of cash settlement on futures prices," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 35-47.
- Emmanuel Bacry & Sylvain Delattre & Marc Hoffmann & Jean-François Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Post-Print hal-01313995, HAL.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Alexander Saichev & Didier Sornette & Vladimir Filimonov & Fulvio Corsi, 2009. "Homogeneous Volatility Bridge Estimators," Papers 0912.1617, arXiv.org.
- Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
- Hiroyuki Kawakatsu, 2021. "Information in daily data volatility measurements," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1642-1656, April.
- Lapinova, S. & Saichev, A. & Tarakanova, M., 2013. "Efficiency and probabilistic properties of bridge volatility estimator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1439-1451.
- Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.
- Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014. "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 751-779, November.
- Sergey S. Stepanov, 2009. "Resilience of Volatility," Papers 0911.5048, arXiv.org.
- Matei, Marius, 2011. "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 116-141, June.
- Richard Gerlach & Chao Wang, 2016. "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures," Papers 1612.08488, arXiv.org.
- Lam, K.P. & Ng, H.S., 2009. "Intra-daily information of range-based volatility for MEM-GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2625-2632.
- D’Amato, Valeria & Levantesi, Susanna & Piscopo, Gabriella, 2022. "Deep learning in predicting cryptocurrency volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
- Zitis, Pavlos I. & Contoyiannis, Yiannis & Potirakis, Stelios M., 2022. "Critical dynamics related to a recent Bitcoin crash," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(4), pages 445-463, October.
- Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
- Jui-Cheng Hung & Ren-Xi Ni & Matthew C. Chang, 2009. "The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500," Economics Bulletin, AccessEcon, vol. 29(4), pages 2592-2604.
- Fantazzini, Dean, 2023. "Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models," MPRA Paper 117141, University Library of Munich, Germany.
- Richard Gerlach & Chao Wang, 2018. "Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures," Papers 1805.08653, arXiv.org.
- Martens, Martin & van Dijk, Dick, 2007.
"Measuring volatility with the realized range,"
Journal of Econometrics, Elsevier, vol. 138(1), pages 181-207, May.
- Martens, M.P.E. & van Dijk, D.J.C., 2006. "Measuring volatility with the realized range," Econometric Institute Research Papers EI 2006-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Christensen, Kim & Podolski, Mark, 2005. "Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale," Technical Reports 2005,18, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Frömmel, Michael & Han, Xing & Kratochvil, Stepan, 2014. "Modeling the daily electricity price volatility with realized measures," Energy Economics, Elsevier, vol. 44(C), pages 492-502.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:14:y:2014:i:1:p:87-99. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.