Volatility Estimation of Gaussian Ornstein–Uhlenbeck Processes of the Second Kind
Author
Abstract
Suggested Citation
DOI: 10.1007/s10959-023-01238-9
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
- Ole E. Barndorff‐Nielsen & Neil Shephard, 2002.
"Econometric analysis of realized volatility and its use in estimating stochastic volatility models,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280, May.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
- Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001. "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers 71, University of Oxford, Department of Economics.
- Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark, 2009.
"Power variation for Gaussian processes with stationary increments,"
Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 1845-1865, June.
- Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007. "Power variation for Gaussian processes with stationary increments," CREATES Research Papers 2007-42, Department of Economics and Business Economics, Aarhus University.
- Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij & Jeannette H.C. Woerner, 2008. "Bipower variation for Gaussian processes with stationary increments," CREATES Research Papers 2008-21, Department of Economics and Business Economics, Aarhus University.
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.- Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
- Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009. "Multipower Variation for Brownian Semistationary Processes," CREATES Research Papers 2009-21, Department of Economics and Business Economics, Aarhus University.
- Rachid Belfadli & Khalifa Es-Sebaiy & Fatima-Ezzahra Farah, 2023. "Volatility Estimation of Gaussian Ornstein–Uhlenbeck Processes of the Second Kind," Journal of Theoretical Probability, Springer, vol. 36(1), pages 1-17, March.
- Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2016. "Decoupling the short- and long-term behavior of stochastic volatility," Papers 1610.00332, arXiv.org, revised Jan 2021.
- Liu, Guangying & Zhang, Xinsheng, 2011. "Power variation of fractional integral processes with jumps," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 962-972, August.
- Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009.
"Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
- Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo.
- Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
- Christos Floros & Konstantinos Gkillas & Christoforos Konstantatos & Athanasios Tsagkanos, 2020. "Realized Measures to Explain Volatility Changes over Time," JRFM, MDPI, vol. 13(6), pages 1-19, June.
- Katerina Papagiannouli, 2022. "A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes," Statistical Inference for Stochastic Processes, Springer, vol. 25(3), pages 505-535, October.
- repec:kap:iaecre:v:14:y:2008:i:1:p:112-124 is not listed on IDEAS
- Podolskij, Mark & Vetter, Mathias, 2009.
"Bipower-type estimation in a noisy diffusion setting,"
Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2803-2831, September.
- Mark Podolskij & Mathias Vetter, 2008. "Bipower-type estimation in a noisy diffusion setting," CREATES Research Papers 2008-25, Department of Economics and Business Economics, Aarhus University.
- Podolskij, Mark & Vetter, Mathias, 2008. "Bipower-type estimation in a noisy diffusion setting," Technical Reports 2008,24, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009.
"Nuisance parameters, composite likelihoods and a panel of GARCH models,"
OFRC Working Papers Series
2009fe03, Oxford Financial Research Centre.
- Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Series Working Papers 458, University of Oxford, Department of Economics.
- Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Papers 2009-W12, Economics Group, Nuffield College, University of Oxford.
- Kerstin Gärtner & Mark Podolskij, 2014. "On non-standard limits of Brownian semi-stationary," CREATES Research Papers 2014-50, Department of Economics and Business Economics, Aarhus University.
- Elsayed, Ahmed H. & Asutay, Mehmet & ElAlaoui, Abdelkader O. & Bin Jusoh, Hashim, 2024. "Volatility spillover across spot and futures markets: Evidence from dual financial system," Research in International Business and Finance, Elsevier, vol. 71(C).
- Wang, Fangfang, 2014. "Optimal design of Fourier estimator in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 708-722.
- Almut Veraart & Luitgard Veraart, 2012.
"Stochastic volatility and stochastic leverage,"
Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
- Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, Department of Economics and Business Economics, Aarhus University.
- Jonathan J. Reeves & Xuan Xie, 2014. "Forecasting stock return volatility at the quarterly frequency: an evaluation of time series approaches," Applied Financial Economics, Taylor & Francis Journals, vol. 24(5), pages 347-356, March.
- Alexander Schnurr, 2015. "An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series," Papers 1502.07321, arXiv.org.
- Almut E. D. Veraart & Luitgard A. M. Veraart, 2013. "Risk premia in energy markets," CREATES Research Papers 2013-02, Department of Economics and Business Economics, Aarhus University.
- Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012.
"Probabilistic forecasts of volatility and its risk premia,"
Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010. "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers 22/10, Monash University, Department of Econometrics and Business Statistics.
- Andrea Bucci, 2020.
"Realized Volatility Forecasting with Neural Networks,"
Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
- Andrea Bucci, 0. "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
- Bucci, Andrea, 2019. "Realized Volatility Forecasting with Neural Networks," MPRA Paper 95443, University Library of Munich, Germany.
More about this item
Keywords
Gaussian process; Realized power variation; Stable convergence; Integrated volatility; Riemann–Stieljes integral;All these keywords.
Statistics
Access and download statisticsCorrections
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:spr:jotpro:v:37:y:2024:i:1:d:10.1007_s10959-023-01238-9. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.