Pages that link to "Item:Q4808055"
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The following pages link to The Distribution of Realized Exchange Rate Volatility (Q4808055):
Displaying 50 items.
- Box-Cox transforms for realized volatility (Q737272) (← links)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
- Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
- Subsampling realised kernels (Q737277) (← links)
- Realized volatility forecasting and market microstructure noise (Q737278) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Local polynomial Whittle estimation of perturbed fractional processes (Q738169) (← links)
- A semiparametric stochastic volatility model (Q738174) (← links)
- On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach (Q825354) (← links)
- Realized volatility of index constituent stocks in Hong Kong (Q834300) (← links)
- Bipower-type estimation in a noisy diffusion setting (Q841480) (← links)
- Quantifying and understanding the economics of large financial movements (Q844583) (← links)
- Econometric analysis of high frequency data (Q862781) (← links)
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility (Q867688) (← links)
- Common volatility and correlation clustering in asset returns (Q884052) (← links)
- Generalized ARMA models with martingale difference errors (Q888346) (← links)
- A note on the central limit theorem for bipower variation of general functions (Q927926) (← links)
- Estimation of stochastic volatility with LRD (Q929714) (← links)
- Consistent estimation of covariation under nonsynchronicity (Q946288) (← links)
- Bootstrap prediction for returns and volatilities in GARCH models (Q959315) (← links)
- A conditional extreme value volatility estimator based on high-frequency returns (Q959736) (← links)
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously (Q961439) (← links)
- Nonparametric density estimation for positive time series (Q962247) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks (Q993813) (← links)
- High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes (Q1019457) (← links)
- Multivariate modelling of long memory processes with common components (Q1020895) (← links)
- Financial options and statistical prediction intervals (Q1431433) (← links)
- Scaling properties of foreign exchange volatility (Q1588872) (← links)
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence (Q1600522) (← links)
- Modeling daily realized futures volatility with singular spectrum analysis (Q1611123) (← links)
- Extracting volatility signal using maximum a posteriori estimation (Q1619844) (← links)
- Forecasting realized volatility: a review (Q1622112) (← links)
- Nonparametric kernel density estimation near the boundary (Q1623386) (← links)
- When long memory meets the Kalman filter: a comparative study (Q1623533) (← links)
- Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
- What does financial volatility tell us about macroeconomic fluctuations? (Q1624058) (← links)
- Direct comparison of agent-based models of herding in financial markets (Q1656464) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- State space modeling of Gegenbauer processes with long memory (Q1659105) (← links)
- Managing risk with a realized copula parameter (Q1659106) (← links)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- Dynamic hedging with futures: a copula-based GARCH model with high-frequency data (Q1710582) (← links)
- Quantile forecasts for financial volatilities based on parametric and asymmetric models (Q1726164) (← links)
- Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates (Q1744731) (← links)
- Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
