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Citations for "Estimating quadratic variation using realised variance"

by Neil Shephard & Ole E. Barndorff-Nielsen

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  1. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," PIER Working Paper Archive 08-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  2. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
  3. Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, School of Economics and Management, University of Aarhus.
  4. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(5), pages 533-558, December.
  5. Chaboud, Alain P. & Chiquoine, Benjamin & Hjalmarsson, Erik & Loretan, Mico, 2010. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(2), pages 212-240, March.
  6. Neil Shephard & Ole E. Barndorff-Nielsen, 2002. "Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics," Economics Series Working Papers 2002-FE-03, University of Oxford, Department of Economics.
  7. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 94-112.
  8. Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2010. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," Working Papers, Duke University, Department of Economics 10-06, Duke University, Department of Economics.
  9. de Vilder, Robin G. & Visser, Marcel P., 2007. "Volatility Proxies for Discrete Time Models," MPRA Paper 4917, University Library of Munich, Germany.
  10. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," IDB Publications 86257, Inter-American Development Bank.
  11. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  12. Corsi, Fulvio & Peluso, Stefano & Audrino, Francesco, 2012. "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation," Economics Working Paper Series 1202, University of St. Gallen, School of Economics and Political Science.
  13. Hooper, Vincent J. & Ng, Kevin & Reeves, Jonathan J., 2008. "Quarterly beta forecasting: An evaluation," International Journal of Forecasting, Elsevier, Elsevier, vol. 24(3), pages 480-489.
  14. Nima Nonejad, 2013. "A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory," CREATES Research Papers 2013-24, School of Economics and Management, University of Aarhus.
  15. Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011. "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 48-57, January.
  16. Nath, H. (Mindi) B. & Kim, Jae H. & Brooks, Robert D., 2012. "Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 83(C), pages 10-22.
  17. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.
  18. Kerry W. Fendick, 2013. "Pricing and Hedging Derivative Securities with Unknown Local Volatilities," Papers 1309.6164, arXiv.org, revised Oct 2013.
  19. Torben G. ANDERSEN & Tim BOLLERSLEV & Nour MEDDAHI, 2002. "Correcting The Errors : A Note On Volatility Forecast Evaluation Based On High-Frequency Data And Realized Volatilities," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 21-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  20. Vortelinos, Dimitrios I. & Thomakos, Dimitrios D., 2013. "Nonparametric realized volatility estimation in the international equity markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 28(C), pages 34-45.
  21. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.
  22. Yin Liao & Heather M. Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 11/10, Monash University, Department of Econometrics and Business Statistics.
  23. 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, Springer, vol. 14(1), pages 112-124, February.
  24. Liao, Yin, 2013. "The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 23(C), pages 25-48.
  25. Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014. "Forecasting with the Standardized Self-Perturbed Kalman Filter," Studies in Economics, Department of Economics, University of Kent 1405, Department of Economics, University of Kent.
  26. Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers, Department of Economics, City University London 13/11, Department of Economics, City University London.
  27. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, American Finance Association, vol. 65(2), pages 603-653, 04.
  28. Maheu, John M. & McCurdy, Thomas H., 2011. "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 69-76, January.
  29. Mohaddes, K. & Pesaran, M.H., 2013. "One Hundred Years of Oil Income and the Iranian Economy: A curse or a Blessing," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1302, Faculty of Economics, University of Cambridge.
  30. Francis X. Diebold & Georg Strasser, 2010. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," NBER Working Papers 16469, National Bureau of Economic Research, Inc.
  31. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer, Springer, vol. 14(1), pages 1-23, March.
  32. Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," CIRANO Working Papers, CIRANO 2009s-28, CIRANO.
  33. Rachidi Kotchoni, 2012. "Applications of the Characteristic Function Based Continuum GMM in Finance," Post-Print, HAL hal-00867795, HAL.
  34. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(2), pages 265-286, March.
  35. Fulvio Corsi & Francesco Audrino, 2008. "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen 2008-05, Department of Economics, University of St. Gallen.
  36. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers, Galatasaray University Economic Research Center 12-4, Galatasaray University Economic Research Center.
  37. Stefano Grassi & Paolo Santucci de Magistris, 2013. "It's all about volatility of volatility: evidence from a two-factor stochastic volatility model," Studies in Economics, Department of Economics, University of Kent 1404, Department of Economics, University of Kent.
  38. Chu, Carlin C.F. & Lam, K.P., 2011. "Modeling intraday volatility: A new consideration," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 21(3), pages 388-418, July.
  39. 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, Elsevier, vol. 150(2), pages 119-138, June.
  40. MEDDAHI, Nour, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2001-26, Universite de Montreal, Departement de sciences economiques.
  41. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 6(2), pages 335-356, December.
  42. Thomas Lux & Leonardo Morales-Arias & Cristina Sattarhoff, 2011. "A Markov-switching Multifractal Approach to Forecasting Realized Volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy.
  43. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009. "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(12), pages 5099-5131, December.
  44. Mattiussi, V. & Iori, G., 2006. "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers, Department of Economics, City University London 06/09, Department of Economics, City University London.
  45. Michel Beine & Jér�me Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm, 2007. "Central bank intervention and exchange rate volatility, its continuous and jump components," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 12(2), pages 201-223.
  46. Nima Nonejad, 2013. "Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach," CREATES Research Papers 2013-26, School of Economics and Management, University of Aarhus.
  47. Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, School of Economics and Management, University of Aarhus.
  48. Vladimir Tsenkov, 2009. "Financial Markets Modelling," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 87-96.
  49. Bertrand B. Maillet & Jean-Philippe R. Médecin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
  50. Mapa, Dennis S., 2004. "A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough," MPRA Paper 21028, University Library of Munich, Germany.
  51. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 290-318.
  52. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2002-14, Universite de Montreal, Departement de sciences economiques.
  53. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 15(3), pages 94-138.
  54. Yin Liao, 2012. "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers 2012-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  55. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, Elsevier, vol. 27(2), pages 314-330, March.
  56. Ehsan Azmoodeh & Esko Valkeila, 2013. "Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion," Statistical Inference for Stochastic Processes, Springer, Springer, vol. 16(2), pages 97-112, July.
  57. Grammig, Joachim G. & Peter, Franziska J., 2008. "International price discovery in the presence of market microstructure effects," CFR Working Papers 08-10, University of Cologne, Centre for Financial Research (CFR).
  58. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007. "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, Elsevier, vol. 138(1), pages 125-180, May.
  59. Ying Chen & Wolfgang Härdle & Uta Pigorsch, 2009. "Localized Realized Volatility Modelling," SFB 649 Discussion Papers SFB649DP2009-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  60. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006. "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 59-95.
  61. Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  62. Laurini, Márcio P., 2007. "Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_89, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  63. repec:wyi:journl:002161 is not listed on IDEAS
  64. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-35, Board of Governors of the Federal Reserve System (U.S.).
  65. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices," Working Papers, Queen's University, Department of Economics 1186, Queen's University, Department of Economics.
  66. Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2011. "Jumps, cojumps and macro announcements," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 893-921, 09.
  67. Abramov, Vyacheslav & Klebaner, Fima, 2006. "Forecasting and testing a non-constant volatility," MPRA Paper 207, University Library of Munich, Germany.
  68. repec:lan:wpaper:592830 is not listed on IDEAS
  69. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  70. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(8), pages 1-33.
  71. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 20(3), pages 329-348.
  72. Helena Veiga, 2006. "Volatility Forecasts: A Continuous Time Model Versus Discrete Time Models1," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws062509, Universidad Carlos III, Departamento de Estadística y Econometría.
  73. Jean-Marie Dufour & René García & Abderrahim Taamouti, 2008. "Measuring causality between volatility and returns with high-frequency data," Economics Working Papers we084422, Universidad Carlos III, Departamento de Economía.
  74. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(2), pages 284-304.
  75. Galbraith, John W. & KI[#x1e63]Inbay, Turgut, 2005. "Content horizons for conditional variance forecasts," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(2), pages 249-260.
  76. Marine Carrasco & Rachidi Kotchoni, 2013. "Adaptive Realized Kernels," Working Papers hal-00867967, HAL.
  77. Mapa, Dennis S., 2003. "A Range-Based GARCH Model for Forecasting Volatility," MPRA Paper 21323, University Library of Munich, Germany.
  78. Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford.
  79. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer, Springer, vol. 90(1), pages 89-104, March.
  80. Fulvio Corsi & Francesco Audrino, 2007. "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen 2007-02, Department of Economics, University of St. Gallen.
  81. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 94(C), pages 109-126.
  82. Elena Andreou & Eric Ghysels & Constantinos Kourouyiannis, 2012. "Robust volatility forecasts in the presence of structural breaks," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics 08-2012, University of Cyprus Department of Economics.
  83. repec:hal:wpaper:halshs-00588307 is not listed on IDEAS
  84. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "Forecasting Exchange Rate Volatility in the Presence of Jumps," Working Papers, Queen's University, Department of Economics 1187, Queen's University, Department of Economics.
  85. 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.
  86. Elezovic, Suad, 2009. "Functional modelling of volatility in the Swedish limit order book," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(6), pages 2107-2118, April.
  87. Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(2), pages 361-397, February.
  88. Jia, Zhanliang & Cui, Meilan & Li, Handong, 2012. "Research on the relationship between the multifractality and long memory of realized volatility in the SSECI," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(3), pages 740-749.