Realized volatility forecasting and option pricing

DOI10.1016/j.jeconom.2008.09.002zbMath1429.62458OpenAlexW2157505837MaRDI QIDQ299252

Federico M. Bandi, Chen Yang, Jeffrey R. Russell

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.002

zbMATH Keywords

option pricingmicrostructure noiserealized variancevolatility forecastingeconomic metricsrealized kernelstwo-scale estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Realized volatility forecasting and option pricing ⋮ Zero-intelligence realized variance estimation. ⋮ A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities ⋮ Forecasting the volatility of crude oil futures using intraday data ⋮ Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals ⋮ Faster Convergence to the Estimation of Quadratic Variation with Microstructure Noise ⋮ Assessing the quality of volatility estimators via option pricing ⋮ Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

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