Pages that link to "Item:Q737246"

The following pages link to Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246):

Displaying 42 items.

• NONPARAMETRIC STOCHASTIC VOLATILITY (Q4554602) (← links)
• Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities? (Q4563388) (← links)
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032) (← links)
• High-frequency volatility of volatility estimation free from spot volatility estimates (Q4619498) (← links)
• Jump robust two time scale covariance estimation and realized volatility budgets (Q4683042) (← links)
• Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
• A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY (Q4979933) (← links)
• Research on the forecasting performance of the HAR-type model based on true and false jumps (Q4983969) (← links)
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
• ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS (Q5012629) (← links)
• Jumps and oil futures volatility forecasting: a new insight (Q5014220) (← links)
• Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements (Q5037040) (← links)
• Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models (Q5075573) (← links)
• Jump-robust volatility estimation using dynamic dual-domain integration method (Q5079475) (← links)
• Detection of jumps in financial time series (Q5083982) (← links)
• Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility (Q5085946) (← links)
• A generalized heterogeneous autoregressive model using market information (Q5092664) (← links)
• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data (Q5120733) (← links)
• Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
• Forecasting realised volatility using ARFIMA and HAR models (Q5235453) (← links)
• Volatility Estimation and Jump Testing via Realized Information Variation (Q5237530) (← links)
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952) (← links)
• On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
• The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets (Q5863642) (← links)
• The impact of jumps and leverage in forecasting covolatility (Q5864641) (← links)
• Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data (Q6039118) (← links)
• Jump‐robust testing of volatility functions in continuous time models (Q6059411) (← links)
• Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
• Volatility measurement with pockets of extreme return persistence (Q6090561) (← links)
• Uniform predictive inference for factor models with instrumental and idiosyncratic betas (Q6090585) (← links)
• Volatility models for stylized facts of high‐frequency financial data (Q6135344) (← links)
• Overnight GARCH-Itô Volatility Models (Q6190733) (← links)
• Testing for jumps with robust spot volatility estimators (Q6490929) (← links)
• The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes (Q6580717) (← links)
• Estimating Jump Activity Using Multipower Variation (Q6620838) (← links)
• On Estimation of Hurst Parameter Under Noisy Observations (Q6623197) (← links)
• Jumps or Staleness? (Q6626220) (← links)
• The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited (Q6626318) (← links)
• A Stochastic Volatility Model With Realized Measures for Option Pricing (Q6626361) (← links)
• High-frequency volatility estimation and forecasting with a novel Bayesian LGI model (Q6635564) (← links)
• Reweighted Nadaraya-Watson estimation of stochastic volatility jump-diffusion models (Q6647605) (← links)
• Asymptotic normality of kernel density estimation for mixing high-frequency data (Q6669476) (← links)