Realized Quantiles* - MaRDI portal

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Making and Evaluating Point Forecasts
The Model Confidence Set
The Pricing of Options and Corporate Liabilities
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
Predicting volatility: getting the most out of return data sampled at different frequencies
Higher order elicitability and Osband's principle
Improving the value at risk forecasts: theory and evidence from the financial crisis
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
Volatility forecast comparison using imperfect volatility proxies
Subordinated market index models: A comparison
Processes that can be embedded in Brownian motion
From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
Asymptotic inference about predictive accuracy using high frequency data
Generalized autoregressive conditional heteroscedasticity
Hyperbolic distributions in finance
Long memory continuous time models
Subordination in the wide sense for Lévy processes
Dynamic semiparametric models for expected shortfall (and value-at-risk)
Stochastic volatility duration models
Limit theorems for multipower variation in the presence of jumps
Econometric modelling of stock market intraday activity.
Time changes for Lévy processes
Long memory in continuous-time stochastic volatility models
Stable Paretian models in finance
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
Lévy Processes and Stochastic Calculus
A new distribution-free quantile estimator
The Price Variability-Volume Relationship on Speculative Markets
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Arbitrage with Fractional Brownian Motion
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
The Distribution of Realized Exchange Rate Volatility
Long-Memory Processes
The Variance Gamma Process and Option Pricing
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
The Loose Subordination of Differential Processes to Brownian Motion
A Tale of Two Time Scales
Diffusion Equation and Stochastic Processes
The stochastically subordinated Poisson normal process for modelling financial assets
Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

This page was built for publication: Realized Quantiles^*