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Citations for "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise"

by Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard

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  1. Marine Carrasco & Rachidi Kotchoni, 2013. "Adaptive Realized Kernels," Working Papers hal-00867967, HAL.
  2. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Banco de Espa�a Working Papers 1230, Banco de Espa�a.
  3. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Asymmetry and Long Memory in Volatility Modelling," Documentos de Trabajo del ICAE 2011-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  4. Naoto Kunitomo & Hiroumi Misaki & Seisho Sato, 2015. "The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling," Asia-Pacific Financial Markets, Springer, vol. 22(3), pages 333-368, September.
  5. Hautsch, Nikolaus & Podolskij, Mark, 2010. "Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence," CFS Working Paper Series 2010/17, Center for Financial Studies (CFS).
  6. Diep Duong & Norman Swanson, 2013. "Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction," Departmental Working Papers 201321, Rutgers University, Department of Economics.
  7. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper 35252, University Library of Munich, Germany.
  8. Yun, Jaeho, 2014. "Out-of-sample density forecasts with affine jump diffusion models," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 74-87.
  9. Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," NBER Working Papers 13449, National Bureau of Economic Research, Inc.
  10. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
  11. Wei Wei & Denis Pelletier, 2015. "A Jump-Diffusion Model with Stochastic Volatility and Durations," CREATES Research Papers 2015-34, School of Economics and Management, University of Aarhus.
  12. Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, School of Economics and Management, University of Aarhus.
  13. Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014. "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 751-779, November.
  14. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 29-56, Winter.
  15. 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.
  16. Naoto Kunitomo & Hiroumi Misaki, 2013. "The SIML Estimation of Integrated Covariance and Hedging Coefficient under Micro-market noise and Random Sampling," CIRJE F-Series CIRJE-F-893, CIRJE, Faculty of Economics, University of Tokyo.
  17. Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-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.
  18. Cédric Okou & Éric Jacquier, 2014. "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers 2014s-36, CIRANO.
  19. Mark Podolskij & Mathias Vetter, 2008. "Bipower-type estimation in a noisy diffusion setting," CREATES Research Papers 2008-25, School of Economics and Management, University of Aarhus.
  20. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2012. "International market links and volatility transmission," Journal of Econometrics, Elsevier, vol. 170(1), pages 117-141.
  21. Ilze Kalnina & Oliver Linton, 2007. "Inference about realized volatility using infill subsampling," LSE Research Online Documents on Economics 4411, London School of Economics and Political Science, LSE Library.
  22. Vetter, Mathias & Podolskij, Mark, 2006. "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," Technical Reports 2006,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  23. Markus Bibinger & Per A. Mykland, 2013. "Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing," SFB 649 Discussion Papers SFB649DP2013-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  24. Markus Bibinger & Mathias Vetter, 2013. "Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps," SFB 649 Discussion Papers SFB649DP2013-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  25. repec:ebl:ecbull:eb-14-00886 is not listed on IDEAS
  26. Markus Bibinger & Lars Winkelmann, 2013. "Econometrics of co-jumps in high-frequency data with noise," SFB 649 Discussion Papers SFB649DP2013-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  27. Kim Christensen & Roel Oomen & Mark Podolskij, 2009. "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers 2009-27, School of Economics and Management, University of Aarhus.
  28. Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.
  29. 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.
  30. Rasmus Tangsgaard Varneskov, 2011. "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers 2011-35, School of Economics and Management, University of Aarhus.
  31. Peter Reinhard Hansen & Zhuo Huang, 2012. "Exponential GARCH Modeling with Realized Measures of Volatility," Economics Working Papers ECO2012/26, European University Institute.
  32. Álvaro Cartea & Dimitrios Karyampas, 2009. "The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets," Birkbeck Working Papers in Economics and Finance 0914, Birkbeck, Department of Economics, Mathematics & Statistics.
  33. Harry Vander Elst & David Veredas, 2014. "Disentangled jump-robust realized covariances and correlations with non-synchronous prices," Statistics and Econometrics Working Papers es142416, Universidad Carlos III, Departamento de Estadística y Econometría.
  34. Caporin, Massimiliano & Velo, Gabriel G., 2015. "Realized range volatility forecasting: Dynamic features and predictive variables," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 98-112.
  35. Ubukata, Masato & Watanabe, Toshiaki, 2015. "Evaluating the performance of futures hedging using multivariate realized volatility," Journal of the Japanese and International Economies, Elsevier, vol. 38(C), pages 148-171.
  36. Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers 645, University of Oxford, Department of Economics.
  37. Hamid, Alain & Heiden, Moritz, 2015. "Forecasting volatility with empirical similarity and Google Trends," Journal of Economic Behavior & Organization, Elsevier, vol. 117(C), pages 62-81.
  38. Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang, 2005. "Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise," NBER Working Papers 11380, National Bureau of Economic Research, Inc.
  39. Mihaela Craioveanu & Eric Hillebrand, 2012. "Level changes in volatility models," Annals of Finance, Springer, vol. 8(2), pages 277-308, May.
  40. Peter C. B. Phillips & Jun Yu, 2009. "Information Loss in Volatility Measurement with Flat Price Trading," Global COE Hi-Stat Discussion Paper Series gd08-039, Institute of Economic Research, Hitotsubashi University.
  41. Roberto Pascual & David Veredas, 2010. "Does the open limit order book matter in explaining long run volatility?," ULB Institutional Repository 2013/136192, ULB -- Universite Libre de Bruxelles.
  42. Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2013. "The response of tail risk perceptions to unconventional monetary policy," BIS Working Papers 425, Bank for International Settlements.
  43. Li, Yingying & Zhang, Zhiyuan & Zheng, Xinghua, 2013. "Volatility inference in the presence of both endogenous time and microstructure noise," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2696-2727.
  44. Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2013. "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns," CREATES Research Papers 2013-07, School of Economics and Management, University of Aarhus.
  45. Guido Russi, 2012. "Estimating the Leverage Effect Using High Frequency Data," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 1-24, February.
  46. Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  47. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Series Working Papers 389, University of Oxford, Department of Economics.
  48. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre.
  49. Kim Christensen & Roel Oomen & Mark Podolskij, 2011. "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers 2011-19, School of Economics and Management, University of Aarhus.
  50. 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.
  51. 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.
  52. Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011. "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers 17592, National Bureau of Economic Research, Inc.
  53. Neil Shephard, 2013. "Martingale unobserved component models," Economics Papers 2013-W01, Economics Group, Nuffield College, University of Oxford.
  54. Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
  55. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
  56. Naoto Kunitomo & Seisho Sato, 2008. "Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise," CIRJE F-Series CIRJE-F-601, CIRJE, Faculty of Economics, University of Tokyo.
  57. Michael Creel & Dennis Kristensen, 2014. "ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models," CREATES Research Papers 2014-30, School of Economics and Management, University of Aarhus.
  58. Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2015. "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series CIRJE-F-975, CIRJE, Faculty of Economics, University of Tokyo.
  59. Todorova, Neda & Worthington, Andrew & Souček, Michael, 2014. "Realized volatility spillovers in the non-ferrous metal futures market," Resources Policy, Elsevier, vol. 39(C), pages 21-31.
  60. Diebold, Francis X. & Strasser, Georg H., 2008. "On the correlation structure of microstructure noise in theory and practice," CFS Working Paper Series 2008/32, Center for Financial Studies (CFS).
  61. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
  62. Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, School of Economics and Management, University of Aarhus.
  63. Mark Podolskij & Bezirgen Veliyev & Nakahiro Yoshida, 2015. "Edgeworth expansion for the pre-averaging estimator," CREATES Research Papers 2015-60, School of Economics and Management, University of Aarhus.
  64. Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series gd12-269, Institute of Economic Research, Hitotsubashi University.
  65. Yacine A�t-Sahalia & Jean Jacod, 2012. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, vol. 50(4), pages 1007-50, December.
  66. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos de Trabajo del ICAE 2013-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  67. Randolf Altmeyer & Markus Bibinger, 2014. "Functional stable limit theorems for efficient spectral covolatility estimators," SFB 649 Discussion Papers SFB649DP2014-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  68. Ting Ting Chen & Tetsuya Takaishi, 2013. "Empirical Study of the GARCH model with Rational Errors," Papers 1312.7057, arXiv.org.
  69. Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2012. "Integer-valued Lévy processes and low latency financial econometrics," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 587-605, January.
  70. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
  71. 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.
  72. Ilze Kalnina & Oliver Linton, 2006. "Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError," STICERD - Econometrics Paper Series 509, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  73. Renault, Eric & Werker, Bas J.M., 2011. "Causality effects in return volatility measures with random times," Journal of Econometrics, Elsevier, vol. 160(1), pages 272-279, January.
  74. 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.
  75. Prateek Sharma & Swati Sharma, 2015. "Forecasting gains of robust realized variance estimators: evidence from European stock markets," Economics Bulletin, AccessEcon, vol. 35(1), pages 61-69.
  76. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, 06.
  77. 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.
  78. Rosenbaum, Mathieu & Tankov, Peter, 2011. "Asymptotic results for time-changed Lévy processes sampled at hitting times," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1607-1632, July.
  79. Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011. "Predictive Inference for Integrated Volatility," Departmental Working Papers 201109, Rutgers University, Department of Economics.
  80. 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.
  81. Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, vol. 141(2), pages 323-349, December.
  82. Ying Chen & Wolfgang Härdle & Uta Pigorsch, 2009. "Localized Realized Volatility Modelling," SFB 649 Discussion Papers SFB649DP2009-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  83. Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, School of Economics and Management, University of Aarhus.
  84. Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  85. Heejoon Han & Myung D. Park & Shen Zhang, 2015. "A Multiplicative Error Model with Heterogeneous Components for Forecasting Realized Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(3), pages 209-219, 04.
  86. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
  87. Degiannakis, Stavros & Floros, Christos, 2014. "Intra-Day Realized Volatility for European and USA Stock Indices," MPRA Paper 64940, University Library of Munich, Germany, revised Jan 2015.
  88. Giampiero M. Gallo & Edoardo Otranto, 2014. "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive 2014_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  89. Seisho Sato & Naoto Kunitomo, 2015. "A Robust Estimation of Integrated Volatility under Round-off Errors, Micro-market Price Adjustments and Noises," CIRJE F-Series CIRJE-F-964, CIRJE, Faculty of Economics, University of Tokyo.
  90. 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.
  91. Gallo, Giampiero M. & Otranto, Edoardo, 2015. "Forecasting realized volatility with changing average levels," International Journal of Forecasting, Elsevier, vol. 31(3), pages 620-634.
  92. Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2013. "On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 59-84.
  93. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," Boston College Working Papers in Economics 693, Boston College Department of Economics, revised 24 Apr 2012.
  94. Preve, Daniel, 2015. "Linear programming-based estimators in nonnegative autoregression," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S225-S234.
  95. 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.
  96. Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, vol. 29(4), pages 592-604.
  97. Idier, Julien & Avouyi-Dovi, Sanvi, 2010. "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Economics Papers from University Paris Dauphine 123456789/11156, Paris Dauphine University.
  98. 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".
  99. Malec, Peter & Schienle, Melanie, 2014. "Nonparametric kernel density estimation near the boundary," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 57-76.
  100. Venter, J.H. & de Jongh, P.J., 2014. "Extended stochastic volatility models incorporating realised measures," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 687-707.
  101. Kotchoni, Rachidi, 2012. "Applications of the characteristic function-based continuum GMM in finance," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3599-3622.
  102. Huang, Zhuo & Liu, Hao & Wang, Tianyi, 2016. "Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model," Economic Modelling, Elsevier, vol. 52(PB), pages 812-821.
  103. 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.
  104. Rasmus Tangsgaard Varneskov & Valeri Voev, 2010. "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers 2010-45, School of Economics and Management, University of Aarhus.
  105. Jean Jacod & Mark Podolskij & Mathias Vetter, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-61, School of Economics and Management, University of Aarhus.
  106. Barunik, Jozef & Barunikova, Michaela, 2015. "Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression," FinMaP-Working Papers 43, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  107. Bibinger, Markus, 2012. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2411-2453.
  108. Silja Kinnebrock & Mark Podolskij, 2008. "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," CREATES Research Papers 2008-23, School of Economics and Management, University of Aarhus.
  109. Carla Ysusi, 2007. "Multipower Variation Under Market Microstructure Effects," Working Papers 2007-13, Banco de México.
  110. Wang, Chengyang & Nishiyama, Yoshihiko, 2015. "Volatility forecast of stock indices by model averaging using high-frequency data," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 324-337.
  111. Matteo Luciani & David Veredas, . "A simple model for vast panels of volatilities," ULB Institutional Repository 2013/136239, ULB -- Universite Libre de Bruxelles.
  112. Naoto Kunitomo & Hiroumi Misaki & Seisho Sato, 2015. "The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling," CIRJE F-Series CIRJE-F-965, CIRJE, Faculty of Economics, University of Tokyo.
  113. Markus Bibinger & Markus Reiß, 2011. "Spectral estimation of covolatility from noisy observations using local weights," SFB 649 Discussion Papers SFB649DP2011-086, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  114. Cecilia Mancini & Vanessa Mattiussi & Roberto Renò, 2015. "Spot volatility estimation using delta sequences," Finance and Stochastics, Springer, vol. 19(2), pages 261-293, April.
  115. Liu, Cheng & Tang, Cheng Yong, 2014. "A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data," Journal of Econometrics, Elsevier, vol. 180(2), pages 217-232.
  116. Naoto Kunitomo & Seisho Sato, 2010. "Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise," CIRJE F-Series CIRJE-F-733, CIRJE, Faculty of Economics, University of Tokyo.
  117. Heejoon Han & Myung D. Park, 2013. "Comparison of Realized Measure and Implied Volatility in Forecasting Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 522-533, 09.
  118. Minxian Yang, 2014. "The Risk Return Relationship: Evidence from Index Return and Realised Variance Series," Discussion Papers 2014-16, School of Economics, The University of New South Wales.
  119. Hiroumi Misaki & Naoto Kunitomo, 2013. "On Robust Properties of the SIML Estimation of Volatility under Micro-market noise and Random Sampling," CIRJE F-Series CIRJE-F-892, CIRJE, Faculty of Economics, University of Tokyo.
  120. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Indirect inference with time series observed with error," CREATES Research Papers 2014-57, School of Economics and Management, University of Aarhus.
  121. 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).
  122. Minjing Tao & Yahzen Wang & Qiwei Yao & Jian Zou, 2011. "Large volatility matrix inference via combining low-frequency and high-frequency approaches," LSE Research Online Documents on Economics 39321, London School of Economics and Political Science, LSE Library.
  123. Kevin Sheppard, 2014. "Factor High-Frequency Based Volatility (HEAVY) Models," Economics Series Working Papers 710, University of Oxford, Department of Economics.
  124. Chai, Edwina F.L. & Lee, Adrian D. & Wang, Jianxin, 2015. "Global information distribution in the gold OTC markets," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 206-217.
  125. Misaki, Hiroumi & Kunitomo, Naoto, 2015. "On robust properties of the SIML estimation of volatility under micro-market noise and random sampling," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 265-281.
  126. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
  127. 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.
  128. Michael McAleer & Marcelo Cunha Medeiros, 2010. "Forecasting Realized Volatility with Linear and Nonlinear Models," Textos para discussão 568, Department of Economics PUC-Rio (Brazil).
  129. 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, revised Jan 2009.
  130. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, vol. 173(1), pages 83-107.
  131. Nathaniel Frank, 2009. "Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading," Economics Series Working Papers 2009-W04, University of Oxford, Department of Economics.
  132. Bacry, E. & Delattre, S. & Hoffmann, M. & Muzy, J.F., 2013. "Some limit theorems for Hawkes processes and application to financial statistics," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2475-2499.
  133. Ulrich Hounyo, 2013. "Bootstrapping realized volatility and realized beta under a local Gaussianity assumption," CREATES Research Papers 2013-30, School of Economics and Management, University of Aarhus.
  134. Yves Dominicy & Harry-Paul Vander Elst, 2015. "Macro-Driven VaR Forecasts: From Very High to Very Low Frequency Data," Working Papers ECARES 2013/220550, ULB -- Universite Libre de Bruxelles.
  135. Jim Gatheral & Roel Oomen, 2010. "Zero-intelligence realized variance estimation," Finance and Stochastics, Springer, vol. 14(2), pages 249-283, April.
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