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Volatility regressions with fat tails (Q2227065)

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Language	Label	Description	Also known as
English	Volatility regressions with fat tails	scientific article

Statements

scholarly article

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Volatility regressions with fat tails (English)

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Journal of Econometrics

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publication date

9 February 2021

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full work available at URL

http://publications.ut-capitole.fr/34915/1/wp_tse_1097.pdf

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zbMATH Keywords

volatility

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autoregression

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fat tails

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random limits

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MaRDI profile type

MaRDI publication profile

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The Distribution of Realized Exchange Rate Volatility

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Modeling and Forecasting Realized Volatility

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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Realized power variation and stochastic volatility models

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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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Limit theorems for multipower variation in the presence of jumps

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Generalized autoregressive conditional heteroscedasticity

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Time series: theory and methods.

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A reexamination of stock return predictability

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Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

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Maximum and minimum of one-dimensional diffusions

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The sample autocorrelations of heavy-tailed processes with applications to ARCH

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Temporal Aggregation of Garch Processes

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Closing the GARCH gap: Continuous time GARCH modeling

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Autoregressive processes with infinite variance

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ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR

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A simple general approach to inference about the tail of a distribution

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ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA

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Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors

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GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

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On tail index estimation using dependent data

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Asymptotic properties of realized power variations and related functionals of semimartingales

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Estimating functions for diffusion-type processes

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Microstructure noise in the continuous case: the pre-averaging approach

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Asymptotic error distributions for the Euler method for stochastic differential equations

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Quarticity and other functionals of volatility: efficient estimation

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Asymptotics for recurrent diffusions with application to high frequency regression

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RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS

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Weak limit theorems for stochastic integrals and stochastic differential equations

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Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

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ARMA representation of integrated and realized variances

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Temporal aggregation of volatility models

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Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.

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Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance

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ARCH models as diffusion approximations

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Nonlinear instrumental variable estimation of an autoregression.

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Consistency of Hill's estimator for dependent data

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Tail index estimation for dependent data

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CAUCHY ESTIMATORS FOR AUTOREGRESSIVE PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS AND CONFIDENCE INTERVALS

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Smoothing Bias in Density Derivative Estimation

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Donsker theorems for diffusions: necessary and sufficient conditions

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A Tale of Two Time Scales

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Identifiers

zbMATH Open document ID

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10.1016/j.jeconom.2020.04.034

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2227065

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