Fourier volatility forecasting with high-frequency data and microstructure noise
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Publication:2893211
DOI10.1080/14697680903413589zbMath1242.91210OpenAlexW2095229149MaRDI QIDQ2893211
Davide Magno, Maria Elvira Mancino, Emilio Basrucci
Publication date: 26 June 2012
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903413589
Monte Carlo methodsderivatives pricingfinancial engineeringmathematical financeGARCH modelsnumerical methods for option pricingwavelets in finance
Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)
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Cites Work
- Out of sample forecasts of quadratic variation
- Realized volatility forecasting and market microstructure noise
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Fourier series method for measurement of multivariate volatilities
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
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