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ARMA Representation of Integrated and Realized Variances

Citations

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Cited by:

  1. Lee Kyungsub, 2016. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 19-36, February.
  2. Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Inference for Integrated Volatility," Departmental Working Papers 200616, Rutgers University, Department of Economics.
  3. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
  4. Grassi, Stefano & Santucci de Magistris, Paolo, 2015. "It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 62-78.
  5. Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
  6. Eduardo Rossi & Paolo Santucci de Magistris, 2018. "Indirect inference with time series observed with error," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
  7. Maheu, John M. & McCurdy, Thomas H., 2011. "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, vol. 160(1), pages 69-76, January.
  8. Sizova, Natalia, 2011. "Integrated variance forecasting: Model based vs. reduced form," Journal of Econometrics, Elsevier, vol. 162(2), pages 294-311, June.
  9. Christensen, Kim & Thyrsgaard, Martin & Veliyev, Bezirgen, 2019. "The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing," Journal of Econometrics, Elsevier, vol. 212(2), pages 556-583.
  10. 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.
  11. Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 445-475, June.
  12. Patton, Andrew J., 2011. "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, vol. 161(2), pages 284-303, April.
  13. Wu, Liuren, 2011. "Variance dynamics: Joint evidence from options and high-frequency returns," Journal of Econometrics, Elsevier, vol. 160(1), pages 280-287, January.
  14. Rasmus T. Varneskov & Pierre Perron, 2018. "Combining long memory and level shifts in modelling and forecasting the volatility of asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 371-393, March.
  15. Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek, "undated". "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," CREATES Research Papers 2010-13, Department of Economics and Business Economics, Aarhus University.
  16. Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
  17. François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 112-124, February.
  18. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility regressions with fat tails," Journal of Econometrics, Elsevier, vol. 218(2), pages 690-713.
  19. Corradi, Valentina & Distaso, Walter & Swanson, Norman R., 2009. "Predictive density estimators for daily volatility based on the use of realized measures," Journal of Econometrics, Elsevier, vol. 150(2), pages 119-138, June.
  20. Daisuke Nagakura & Toshiaki Watanabe, 2015. "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(1), pages 45-82.
  21. Daisuke Nagakura & Toshiaki Watanabe, 2009. "A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component," Global COE Hi-Stat Discussion Paper Series gd09-055, Institute of Economic Research, Hitotsubashi University.
  22. Hansen, Peter R. & Lunde, Asger, 2014. "Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error," Econometric Theory, Cambridge University Press, vol. 30(1), pages 60-93, February.
  23. Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2011. "Realized Laplace transforms for estimation of jump diffusive volatility models," Journal of Econometrics, Elsevier, vol. 164(2), pages 367-381, October.
  24. Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
  25. Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
  26. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
  27. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2012. "International market links and volatility transmission," Journal of Econometrics, Elsevier, vol. 170(1), pages 117-141.
  28. Asger Lunde & Anne Floor Brix, 2013. "Estimating Stochastic Volatility Models using Prediction-based Estimating Functions," CREATES Research Papers 2013-23, Department of Economics and Business Economics, Aarhus University.
  29. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
  30. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
  31. Kyungsub Lee, 2013. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Papers 1311.5036, arXiv.org, revised Jul 2015.
  32. repec:kap:iaecre:v:14:y:2008:i:1:p:112-124 is not listed on IDEAS
  33. Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
  34. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
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