Pages that link to "Item:Q5447122"

The following pages link to Variation, jumps and high-frequency data in financial econometrics (Q5447122):

Displaying 35 items.

• Realized range-based estimation of integrated variance (Q289157) (← links)
• Realized volatility forecasting and option pricing (Q299252) (← links)
• Confidence interval of the jump activity index based on empirical likelihood using high frequency data (Q434532) (← links)
• Stochastic volatility and stochastic leverage (Q470516) (← links)
• Affine fractional stochastic volatility models (Q470522) (← links)
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• Data-based ranking of realised volatility estimators (Q530606) (← links)
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
• Multipower variation for Brownian semistationary processes (Q654402) (← links)
• Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (Q737260) (← links)
• Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263) (← links)
• Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
• Estimating the degree of activity of jumps in high frequency data (Q834337) (← links)
• Power variation for Gaussian processes with stationary increments (Q1019612) (← links)
• Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models (Q1023616) (← links)
• Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies (Q1925618) (← links)
• Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
• Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
• Spot volatility estimation using delta sequences (Q2339119) (← links)
• Testing for common arrivals of jumps for discretely observed multidimensional processes (Q2388981) (← links)
• Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight (Q2515853) (← links)
• Inference in Lévy-type stochastic volatility models (Q3590750) (← links)
• Bipower Variation for Gaussian Processes with Stationary Increments (Q3621152) (← links)
• Limited information-processing capacity and asymmetric stock correlations (Q4683041) (← links)
• Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
• Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (Q5226150) (← links)
• ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
• (Q5495335) (← links)
• IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (Q5880804) (← links)
• Jump‐robust testing of volatility functions in continuous time models (Q6059411) (← links)
• Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
• Heteroscedasticity test of high-frequency data with jumps and market microstructure noise (Q6580713) (← links)