Volatility forecasting and microstructure noise

DOI10.1016/j.jeconom.2010.03.035zbMath1441.62702OpenAlexW3124161489MaRDI QIDQ737282

Arthur Sinko, Eric Ghysels

Publication date: 10 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.035

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (20)

Forecasting realized volatility: a review ⋮ Realized stochastic volatility with leverage and long memory ⋮ Out of sample forecasts of quadratic variation ⋮ Realized volatility forecasting and option pricing ⋮ Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error ⋮ Predictive density estimators for daily volatility based on the use of realized measures ⋮ A continuous and efficient fundamental price on the discrete order book grid ⋮ On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? ⋮ A generalized heterogeneous autoregressive model using market information ⋮ Incorporating overnight and intraday returns into multivariate GARCH volatility models ⋮ Zero-intelligence realized variance estimation. ⋮ Realized Volatility: A Review ⋮ Data-based ranking of realised volatility estimators ⋮ MIDAS Regressions: Further Results and New Directions ⋮ Exploiting the errors: a simple approach for improved volatility forecasting ⋮ Do high-frequency measures of volatility improve forecasts of return distributions? ⋮ Realized volatility forecasting and market microstructure noise ⋮ Volatility forecasting and microstructure noise ⋮ Combining statistical intervals and market prices: the worst case state price distribution ⋮ Estimation of quarticity with high-frequency data

Cites Work

• Unnamed Item
• MIDAS Regressions: Further Results and New Directions
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Out of sample forecasts of quadratic variation
• Realized volatility forecasting and market microstructure noise
• Volatility forecasting and microstructure noise
• High frequency market microstructure noise estimates and liquidity measures
• ARCH models as diffusion approximations
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Moment–Based Estimation of Stochastic Volatility Models
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Tale of Two Time Scales

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