Pages that link to "Item:Q494402"

The following pages link to Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402):

Displaying 36 items.

• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
• A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858) (← links)
• High frequency-based quantile forecast and combination: an application to oil market (Q2086173) (← links)
• From zero to hero: realized partial (co)variances (Q2106366) (← links)
• Equity clusters through the lens of realized semicorrelations (Q2126161) (← links)
• Non-parametric news impact curve: a variational approach (Q2156537) (← links)
• Emergence of correlations between securities at short time scales (Q2160104) (← links)
• The contribution of intraday jumps to forecasting the density of returns (Q2181523) (← links)
• Incorporating overnight and intraday returns into multivariate GARCH volatility models (Q2190235) (← links)
• Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin (Q2246724) (← links)
• Forecasting the volatility of crude oil futures using intraday data (Q2256329) (← links)
• Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
• A nonparametric test of a strong leverage hypothesis (Q2630356) (← links)
• Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics (Q4957245) (← links)
• Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading (Q4994680) (← links)
• Jumps and oil futures volatility forecasting: a new insight (Q5014220) (← links)
• TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY (Q5045336) (← links)
• (Q5143373) (← links)
• Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (Q5226150) (← links)
• Disentangling and quantifying market participant volatility contributions (Q5235452) (← links)
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data (Q5861006) (← links)
• Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data (Q6039118) (← links)
• Predicting stock realized variance based on an asymmetric robust regression approach (Q6066261) (← links)
• The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets (Q6148782) (← links)
• Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19 (Q6148794) (← links)
• Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective (Q6150535) (← links)
• Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (Q6187364) (← links)
• Volatility analysis for the GARCH-Itô model with option data (Q6490397) (← links)
• Anticipating extreme losses using score-driven shape filters (Q6553216) (← links)
• Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (Q6553225) (← links)
• Capturing measurement error bias in volatility forecasting by realized GARCH models (Q6613594) (← links)
• Multiple measures realized GARCH models (Q6614836) (← links)
• Realized Quantiles^* (Q6620952) (← links)
• The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited (Q6626318) (← links)
• High-frequency-based volatility model with network structure (Q6641045) (← links)
• Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility (Q6645226) (← links)