Pages that link to "Item:Q5472963"

The following pages link to Modeling and Forecasting Realized Volatility (Q5472963):

Displaying 50 items.

• Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
• On the use of non-linear transformations in stochastic volatility models (Q257523) (← links)
• A wavelet Whittle estimator of generalized long-memory stochastic volatility (Q261551) (← links)
• Testing normality: a GMM approach (Q261889) (← links)
• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920) (← 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)
• Inference theory for volatility functional dependencies (Q284294) (← links)
• The multi-state latent factor intensity model for credit rating transitions (Q290969) (← links)
• Long-run risk-return trade-offs (Q291124) (← links)
• Monitoring disruptions in financial markets (Q291846) (← links)
• Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment (Q292001) (← links)
• Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
• Consistent ranking of volatility models (Q292007) (← links)
• Time series properties of ARCH processes with persistent covariates (Q299219) (← links)
• Out of sample forecasts of quadratic variation (Q299250) (← links)
• Realized volatility forecasting and option pricing (Q299252) (← links)
• Nonlinear models for strongly dependent processes with financial applications (Q299256) (← links)
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← 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)
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Modeling and forecasting exchange rate volatility in time-frequency domain (Q322677) (← links)
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
• Asymptotics for random functions moderated by dependent noise (Q329063) (← links)
• Fractional integration versus level shifts: the case of realized asset correlations (Q379926) (← links)
• The asymptotics of the integrated self-weighted cross volatility estimator (Q394775) (← links)
• On generalised asymmetric stochastic volatility models (Q429633) (← links)
• Modelling and forecasting noisy realized volatility (Q429642) (← links)
• Forecasting return volatility in the presence of microstructure noise (Q440195) (← links)
• Recent results in the theory and applications of CARMA processes (Q457274) (← links)
• A Gaussian calculus for inference from high frequency data (Q470517) (← links)
• Implied and realized volatility: empirical model selection (Q470518) (← links)
• The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model (Q485701) (← links)
• VAR for VaR: measuring tail dependence using multivariate regression quantiles (Q494385) (← links)
• Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
• International market links and volatility transmission (Q528027) (← links)
• Estimation of semiparametric locally stationary diffusion models (Q528037) (← links)
• Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
• Bootstrapping realized multivariate volatility measures (Q528117) (← links)
• Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
• On loss functions and ranking forecasting performances of multivariate volatility models (Q528161) (← links)
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
• Data-based ranking of realised volatility estimators (Q530606) (← links)
• Estimation of stable distributions by indirect inference (Q530608) (← links)
• Locally stationary long memory estimation (Q544490) (← links)