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Citations for "A Theoretical Comparison Between Integrated and Realized Volatilies"

by MEDDAHI, Nour

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  1. McAleer, M.J. & Medeiros, M.C., 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers EI 2009-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. 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.
  3. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Research Discussion Papers 19/2010, Bank of Finland.
  4. Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013. "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
  5. 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(01), pages 60-93, February.
  6. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
  7. Chuan-Hsiang Han & Wei-Han Liu & Tzu-Ying Chen, 2014. "VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1450009-1-1.
  8. 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 (IfW), vol. 3, pages 1-33.
  9. Asai, M. & McAleer, M.J. & Medeiros, M., 2011. "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers EI 2011-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A Feasible Central Limit Theory for Realised Volatility Under Leverage," Economics Papers 2004-W03, Economics Group, Nuffield College, University of Oxford.
  11. Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers 2007-24, Department of Economics and Business Economics, Aarhus University.
  12. Basel M. A. Awartani, 2008. "Forecasting volatility with noisy jumps: an application to the Dow Jones Industrial Average stocks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 267-278.
  13. Bollerslev, Tim & Zhou, Hao, 2002. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 109(1), pages 33-65, July.
  14. Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
  15. John M. Maheu & Thomas H. McCurdy, 2009. "Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?," Working Paper Series 19_09, The Rimini Centre for Economic Analysis.
  16. Michael Sørensen & Julie Lyng Forman, 2007. "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers 2007-28, Department of Economics and Business Economics, Aarhus University.
  17. 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.
  18. Marina Theodosiou, 2010. "Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps," Working Papers 2010-7, Central Bank of Cyprus.
  19. Walter Distaso & Basel Awartani & Valentina Corradi, 2004. "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 Australasian Meetings 273, Econometric Society.
  20. 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.
  21. Masato Ubukata & Toshiaki Watanabe, 2011. "Pricing Nikkei 225 Options Using Realized Volatility," IMES Discussion Paper Series 11-E-18, Institute for Monetary and Economic Studies, Bank of Japan.
  22. Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
  23. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
  24. Wamg, Jianxin, 2011. "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review, Asian Development Bank, vol. 28(2), pages 32-57.
  25. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
  26. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
  27. Renò, Roberto, 2008. "Nonparametric Estimation Of The Diffusion Coefficient Of Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1174-1206, October.
  28. Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
  29. 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, Informatica, Applicazioni "G. Parenti".
  30. Miranda-Agrippino, Silvia & Rey, Hélène, 2015. "World Asset Markets and the Global Financial Cycle," CEPR Discussion Papers 10936, C.E.P.R. Discussion Papers.
  31. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics.
  32. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
  33. Ulrich Hounyo, 2013. "Bootstrapping realized volatility and realized beta under a local Gaussianity assumption," CREATES Research Papers 2013-30, Department of Economics and Business Economics, Aarhus University.
  34. Lancelot F. James & Dohyun Kim & Zhiyuan Zhang, 2013. "Exact simulation pricing with Gamma processes and their extensions," Papers 1310.6526, arXiv.org, revised Nov 2013.
  35. Walter Distaso & Valentina Corradi & Basel Awartani, 2004. "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Working Papers wp04-06, Warwick Business School, Finance Group.
  36. Francis X. Diebold & Georg Strasser, 2013. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," Review of Economic Studies, Oxford University Press, vol. 80(4), pages 1304-1337.
  37. 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," CIRANO Working Papers 2002s-91, CIRANO.
  38. Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
  39. Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.).
  40. Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011. "Predictive Inference for Integrated Volatility," Departmental Working Papers 201109, Rutgers University, Department of Economics.
  41. Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
  42. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "How accurate is the asymptotic approximation to the distribution of realised volatility?," Economics Papers 2001-W16, Economics Group, Nuffield College, University of Oxford.
  43. Dinghai Xu, 2010. "A Threshold Stochastic Volatility Model with Realized Volatility," Working Papers 1003, University of Waterloo, Department of Economics, revised May 2010.
  44. 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.
  45. Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev, 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," NBER Working Papers 12963, National Bureau of Economic Research, Inc.
  46. Dinghai Xu & Yuying Li, 2010. "Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach," Working Papers 1002, University of Waterloo, Department of Economics, revised May 2010.
  47. 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.
  48. Tauchen, George & Zhou, Hao, 2011. "Realized jumps on financial markets and predicting credit spreads," Journal of Econometrics, Elsevier, vol. 160(1), pages 102-118, January.
  49. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics," OFRC Working Papers Series 2002fe03, Oxford Financial Research Centre.
  50. Jeffrey R. Russell & Federico M. Bandi, 2004. "Microstructure noise, realized volatility, and optimal sampling," Econometric Society 2004 Latin American Meetings 220, Econometric Society.
  51. Masato Ubukata & Toshiaki Watanabe, 2013. "Pricing Nikkei 225 Options Using Realized Volatility," Global COE Hi-Stat Discussion Paper Series gd12-273, Institute of Economic Research, Hitotsubashi University.
  52. Stanislav Khrapov, 2011. "Pricing Central Tendency in Volatility," Working Papers w0168, Center for Economic and Financial Research (CEFIR).
  53. 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.
  54. 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.
  55. MArcelo Carvalho & MArco Aurelio Freire & Marcelo Cunha Medeiros & Leonardo Souza, 2006. "Modeling and forecasting the volatility of Brazilian asset returns," Textos para discussão 530, Department of Economics PUC-Rio (Brazil).
  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.
  57. Taamouti, Abderrahim & García, René & Dufour, Jean-Marie, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  58. Ulrich Hounyo & Bezirgen Veliyev, 2015. "Validity of Edgeworth expansions for realized volatility estimators," CREATES Research Papers 2015-21, Department of Economics and Business Economics, Aarhus University.
  59. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
  60. ERIC HILLEBRAND & MArcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
  61. Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
  62. Chan, Kam Fong & Powell, John G. & Treepongkaruna, Sirimon, 2014. "Currency jumps and crises: Do developed and emerging market currencies jump together?," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 132-157.
  63. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
  64. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2015. "The long and the short of the risk-return trade-off," Journal of Econometrics, Elsevier, vol. 187(2), pages 580-592.
  65. Ooms, M., 2008. "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  66. Bo Young Chang & Bruno Feunou, 2013. "Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility," Staff Working Papers 13-37, Bank of Canada.
  67. Wang, Xunxiao & Wu, Chongfeng & Xu, Weidong, 2015. "Volatility forecasting: The role of lunch-break returns, overnight returns, trading volume and leverage effects," International Journal of Forecasting, Elsevier, vol. 31(3), pages 609-619.
  68. Asger Lunde & Peter Reinhard Hansen, 2004. "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings 526, Econometric Society.
  69. Mancino, M.E. & Sanfelici, S., 2008. "Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2966-2989, February.
  70. Tsiaras, Leonidas, 2009. "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," Finance Research Group Working Papers F-2009-02, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  71. Dovonon, Prosper & Goncalves, Silvia & Meddahi, Nour, 2010. "Bootstrapping realized multivariate volatility measures," MPRA Paper 40123, University Library of Munich, Germany.
  72. Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
  73. Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2013. "Realized Stochastic Volatility with Leverage and Long Memory," CIRJE F-Series CIRJE-F-880, CIRJE, Faculty of Economics, University of Tokyo.
  74. repec:kap:iaecre:v:14:y:2008:i:1:p:112-124 is not listed on IDEAS
  75. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  76. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.
  77. 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.
  78. Marcelo C. Carvalho & Marco Aurélio S. Freire & Marcelo Cunha Medeiros & Leonardo R. Souza, 2006. "Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 4(1), pages 55-77.
  79. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Indirect inference with time series observed with error," CREATES Research Papers 2014-57, Department of Economics and Business Economics, Aarhus University.
  80. Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011. "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 220-234, January.
  81. 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.
  82. Raúl De Jesús Gutiérrez & Reyna Vergara González & Miguel A. Díaz Carreño, 2015. "Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, March.
  83. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers 2003-01, Brown University, Department of Economics.
  84. Peter Reinhard Hansen & Guillaume Horel, 2009. "Quadratic Variation by Markov Chains," CREATES Research Papers 2009-13, Department of Economics and Business Economics, Aarhus University.
  85. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001.
  86. Hua, Jian & Manzan, Sebastiano, 2013. "Forecasting the return distribution using high-frequency volatility measures," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4381-4403.
  87. Basel Awartani & Valentina Corradi, 2004. "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 North American Summer Meetings 487, Econometric Society.
  88. 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.
  89. Juan M. Londono, 2011. "The variance risk premium around the world," International Finance Discussion Papers 1035, Board of Governors of the Federal Reserve System (U.S.).
  90. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
  91. Bent Jesper Christensen & Rasmus T. Varneskov, 2016. "Dynamic Global Currency Hedging," CREATES Research Papers 2016-03, Department of Economics and Business Economics, Aarhus University.
  92. Awartani, Basel M.A. & Corradi, Valentina, 2005. "Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries," International Journal of Forecasting, Elsevier, vol. 21(1), pages 167-183.
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