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Citations for "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data"

by Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," EconomiX Working Papers 2009-24, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
  2. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," Economics Series Working Papers 382, University of Oxford, Department of Economics. [Downloadable!]
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  3. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
  4. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," OFRC Working Papers Series 2004fe20, Oxford Financial Research Centre. [Downloadable!]
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  5. Ying Chen & Wolfgang Härdle & Uta Pigorsch, 2009. "Localized Realized Volatility Modelling," SFB 649 Discussion Papers SFB649DP2009-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  6. Duan, Jin-Chuan & Fulop, Andras, 2006. "Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises," ESSEC Working Papers DR 06015, ESSEC Research Center, ESSEC Business School. [Downloadable!]
  7. Mark Podolskij & Mathias Vetter, 2007. "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," CREATES Research Papers 2007-27, School of Economics and Management, University of Aarhus. [Downloadable!]
  8. Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre. [Downloadable!]
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  9. Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733. [Downloadable!]
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  10. Herwartz, Helmut & Golosnoy, Vasyl, 2007. "Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance," Economics Working Papers 2007,23, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  11. Silja Kinnebrock & Mark Podolskij, 2007. "A Note on the Central Limit Theorem for Bipower Variation of General Functions," OFRC Working Papers Series 2007fe03, Oxford Financial Research Centre. [Downloadable!]
  12. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute. [Downloadable!]
  13. Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  14. Gael M. Martin & Andrew Reidy & Jill Wright, 2009. "Does the option market produce superior forecasts of noise-corrected volatility measures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 77-104. [Downloadable!]
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  15. Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," NBER Working Papers 13449, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  16. Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers 905, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  17. Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre. [Downloadable!]
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  18. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semin-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics. [Downloadable!]
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  19. Silja Kinnebrock & Mark Podolskij, 2008. "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," OFRC Working Papers Series 2008fe25, Oxford Financial Research Centre. [Downloadable!]
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  20. Ilze Kalnina & Oliver Linton, 2006. "Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError," STICERD - Econometrics Paper Series /2006/509, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  21. Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers 2009-45, School of Economics and Management, University of Aarhus. [Downloadable!]
  22. Valeri Voev, 2007. "Dynamic Modeling of Large Dimensional Covariance Matrices," CoFE Discussion Paper 07-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  23. S. Sanfelici & M. E. Mancino, 2008. "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers 2008-ME01, Department of Economics, Parma University (Italy). [Downloadable!]
  24. Peter C.B. Phillips & Jun Yu, 2007. "Information Loss in Volatility Measurement with Flat Price Trading," Cowles Foundation Discussion Papers 1598, Cowles Foundation, Yale University. [Downloadable!]
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  25. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  26. Peter C. B. Phillips & Jun Yu, 2005. "Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde," Working Papers 13-2005, Singapore Management University, School of Economics. [Downloadable!]
  27. L. C. G. Rogers & Fanyin Zhou, 2008. "Estimating correlation from high, low, opening and closing prices," Quantitative Finance Papers 0804.0162, arXiv.org. [Downloadable!]
  28. Gael M. Martin & Andrew Reidy & Jill Wright, 2006. "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers 10/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  29. Masato Ubukata & Kosuke Oya, 2007. "Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise," Discussion Papers in Economics and Business 07-03, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  30. Visser, Marcel P., 2008. "Ranking and Combining Volatility Proxies for Garch and Stochastic Volatility Models," MPRA Paper 4917, University Library of Munich, Germany. [Downloadable!]
  31. Asger Lunde & Peter Reinhard Hansen, 2004. "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings 526, Econometric Society. [Downloadable!]
  32. Jeremy Large, 2007. "Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment," Economics Series Working Papers 340, University of Oxford, Department of Economics. [Downloadable!]
  33. repec:mop:credwp:09.05.84 is not listed on IDEAS
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  34. Peter Reinhard Hansen & Guillaume Horel, 2009. "Quadratic Variation by Markov Chains," CREATES Research Papers 2009-13, School of Economics and Management, University of Aarhus. [Downloadable!]
  35. Ole Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," Economics Papers 2004-W30, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  36. Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers halshs-00387286_v1, HAL. [Downloadable!]
  37. Offer Lieberman & Peter C. B. Phillips, 2006. "Refined Inference on Long Memory in Realized Volatility," Cowles Foundation Discussion Papers 1549, Cowles Foundation, Yale University. [Downloadable!]
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  38. Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005. "Limit theorems for multipower variation in the presence of jumps," Economics Papers 2005-W07, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
  39. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre. [Downloadable!]
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  40. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  41. Fulvio Corsi & Uta Kretschmer & Stefan Mittnik & Christian Pigorsch, 2005. "The Volatility of Realized Volatility," CFS Working Paper Series 2005/33, Center for Financial Studies. [Downloadable!]
  42. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO. [Downloadable!]
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  43. Torben G. Andersen & Viktor Todorov, 2009. "Realized Volatility and Multipower Variation," CREATES Research Papers 2009-49, School of Economics and Management, University of Aarhus. [Downloadable!]
  44. Ingmar Nolte & Valeri Voev, 2009. "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," CREATES Research Papers 2009-16, School of Economics and Management, University of Aarhus. [Downloadable!]
  45. Naoto Kunitomo & Seisho Sato, 2008. "Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise," CIRJE F-Series CIRJE-F-581, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  46. Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, School of Economics and Management, University of Aarhus. [Downloadable!]
  47. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics. [Downloadable!]
  48. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series gd08-034, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  49. Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008 2008-05, Department of Economics, University of St. Gallen. [Downloadable!]
  50. Takaki Hayashi & Nakahiro Yoshida, 2008. "Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes," Annals of the Institute of Statistical Mathematics, Springer, vol. 60(2), pages 367-406, June. [Downloadable!] (restricted)
  51. Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," Economics Papers 2005-W05, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  52. Martin Martens & Dick van Dijk & Michiel de Pooter, 2004. "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers 04-067/4, Tinbergen Institute. [Downloadable!]
  53. Masato Ubukata & Kosuke Oya, 2008. "A Test for Dependence and Covariance Estimator of Market Microstructure Noise," Discussion Papers in Economics and Business 07-03-Rev.2, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP). [Downloadable!]
  54. Robin G. de Vilder & Marcel P. Visser, 2007. "Proxies for daily volatility," PSE Working Papers 2007-11, PSE (Ecole normale supérieure). [Downloadable!]
  55. Ole E. Barndorff-Nielsen & Neil Shephard, 2008. "Modelling and measuring volatility," OFRC Working Papers Series 2008fe31, Oxford Financial Research Centre. [Downloadable!]
  56. Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2005. "Edgeworth Expansions for Realized Volatility and Related Estimators," NBER Technical Working Papers 0319, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  57. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics. [Downloadable!]
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  58. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 89-104, March. [Downloadable!] (restricted)
  59. Ingmar Nolte & Valeri Voev, 2007. "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CoFE Discussion Paper 07-07, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  60. Jianqing Fan & Jingjin Zhang & Ke Yu, 2008. "Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios," Quantitative Finance Papers 0812.2604, arXiv.org. [Downloadable!]
  61. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  62. Almut E. D. Veraart, 2008. "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers 2008-57, School of Economics and Management, University of Aarhus. [Downloadable!]
  63. Per Aslak Mykland & Lan Zhang, 2006. "ANOVA for diffusions and It\^{o} processes," Quantitative Finance Papers math/0611274, arXiv.org. [Downloadable!]
  64. Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007. "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers 2007-43, School of Economics and Management, University of Aarhus. [Downloadable!]
  65. Ilze Kalnina & Oliver Linton, 2007. "Inference about Realized Volatility using Infill Subsampling," STICERD - Econometrics Paper Series /2007/523, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  66. Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures," Departmental Working Papers 200620, Rutgers University, Department of Economics. [Downloadable!]
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  67. Michiel de Pooter & Martin Martens & Dick van Dijk, 2005. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?," Tinbergen Institute Discussion Papers 05-089/4, Tinbergen Institute, revised 03 Jan 2006. [Downloadable!]
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  68. Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers 2007-22, School of Economics and Management, University of Aarhus. [Downloadable!]
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  69. Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2007. "Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously," CIRJE F-Series CIRJE-F-515, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
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  70. Vuorenmaa, Tommi A., 2008. "Decimalization, Realized Volatility, and Market Microstructure Noise," MPRA Paper 8692, University Library of Munich, Germany. [Downloadable!]
  71. B. Jungbacker & S.J. Koopman, 2005. "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers 05-002/4, Tinbergen Institute. [Downloadable!]
  72. Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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  73. Qianqiu Liu, 2009. "On portfolio optimization: How and when do we benefit from high-frequency data?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 560-582. [Downloadable!]
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This page was last updated on 2009-12-19.

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