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.
- Differentiating intraday seasonalities through wavelet multi-scaling (Q88369) (← links)
- Testing normality: a GMM approach (Q261889) (← links)
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (Q274926) (← links)
- 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 (Q277161) (← links)
- Measuring volatility with the realized range (Q277164) (← links)
- Analysis of high dimensional multivariate stochastic volatility models (Q278181) (← links)
- Realized range-based estimation of integrated variance (Q289157) (← links)
- A multiple indicators model for volatility using intra-daily data (Q292000) (← links)
- Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
- Consistent ranking of volatility models (Q292007) (← links)
- Breaks and persistency: macroeconomic causes of stock market volatility (Q292011) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Regime switching for dynamic correlations (Q292034) (← links)
- Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
- The Wishart autoregressive process of multivariate stochastic volatility (Q302185) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Asymmetric conditional correlations in stock returns (Q312957) (← links)
- Modeling and forecasting exchange rate volatility in time-frequency domain (Q322677) (← links)
- Two-state volatility transition pricing and hedging of TXO options (Q429529) (← links)
- On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988) (← links)
- A Gaussian calculus for inference from high frequency data (Q470517) (← links)
- Implied and realized volatility: empirical model selection (Q470518) (← links)
- Time-varying jump tails (Q473227) (← links)
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
- Bias in the estimation of the mean reversion parameter in continuous time models (Q527981) (← links)
- International market links and volatility transmission (Q528027) (← links)
- Estimation of semiparametric locally stationary diffusion models (Q528037) (← links)
- On loss functions and ranking forecasting performances of multivariate volatility models (Q528161) (← links)
- An integrated heteroscedastic autoregressive model for forecasting realized volatilities (Q530371) (← links)
- Subsampling high frequency data (Q530605) (← links)
- Data-based ranking of realised volatility estimators (Q530606) (← links)
- The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise (Q543441) (← links)
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- A note on intraday foreign exchange volatility and the informational role of quote arrivals (Q672930) (← links)
- Exploring exchange rate returns at different time horizons (Q699145) (← links)
- Second-order asymptotic expansion for a non-synchronous covariation estimator (Q720740) (← links)
- On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← 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)
- Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
- Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263) (← links)
- Forecasting multivariate realized stock market volatility (Q737267) (← links)
- Realized jumps on financial markets and predicting credit spreads (Q737268) (← links)
- High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
