Pages that link to "Item:Q1867730"

The following pages link to Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Q1867730):

Displaying 50 items.

• Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
• Inference theory for volatility functional dependencies (Q284294) (← links)
• Volatility puzzles: a simple framework for gauging return-volatility regressions (Q292008) (← links)
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
• Out of sample forecasts of quadratic variation (Q299250) (← links)
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
• Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
• A two-stage realized volatility approach to estimation of diffusion processes with discrete data (Q302180) (← links)
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
• Stochastic volatility and stochastic leverage (Q470516) (← links)
• A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities (Q500498) (← links)
• On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
• Econometric analysis of jump-driven stochastic volatility models (Q737254) (← links)
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258) (← links)
• Realized jumps on financial markets and predicting credit spreads (Q737268) (← 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)
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279) (← links)
• Integrated variance forecasting: model based vs. reduced form (Q737909) (← links)
• Realized Laplace transforms for estimation of jump diffusive volatility models (Q738034) (← links)
• Realised volatility and parametric estimation of Heston SDEs (Q784737) (← links)
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485) (← links)
• An option pricing formula for the GARCH diffusion model (Q957204) (← links)
• Spectral GMM estimation of continuous-time processes (Q1398981) (← links)
• Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative (Q1621997) (← links)
• Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← links)
• Filtering for partially observed diffusion and its applications (Q1673260) (← links)
• Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
• Financial econometrics: Past developments and future challenges (Q1841086) (← links)
• Notes on financial econometrics (Q1841088) (← links)
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
• Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
• A bootstrap test for jumps in financial economics (Q2343319) (← links)
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
• Realized stochastic volatility with general asymmetry and long memory (Q2398614) (← links)
• Efficient estimation of drift parameters in stochastic volatility models (Q2463719) (← links)
• Large deviations for squared radial Ornstein-Uhlenbeck processes. (Q2574517) (← links)
• Estimating dynamic equilibrium models using mixed frequency macro and financial data (Q2630354) (← links)
• Stationary bootstrapping realized volatility (Q2637373) (← links)
• A discrete-time hedging framework with multiple factors and fat tails: on what matters (Q2682956) (← links)
• Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data (Q2691639) (← links)
• Computation of volatility in stochastic volatility models with high frequency data (Q2786036) (← links)
• Estimation of stochastic volatility models by nonparametric filtering (Q2826006) (← links)
• Goodness-of-fit based on downsampling with applications to linear drift diffusions (Q2911667) (← links)
• Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures (Q3018503) (← links)
• Estimation of Correlation for Continuous Semimartingales (Q3145567) (← links)
• (Q3305226) (← links)
• Econometric analysis of realized volatility and its use in estimating stochastic volatility models (Q3374324) (← links)