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Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
In: Cowles Foundation Discussion Papers.
RePEc:cwl:cwldpp:1598.

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Cited: 4

Citations received by this document

Cites: 25

References cited by this document

Cocites: 34

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Coauthors: 0

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Citations

Citations received by this document

  1. Zeros. (2020). Renoo, Roberto ; Pirino, Davide ; Kolokolov, Aleksey ; Bandi, Federico M.
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:2020:i:8:p:3466-3479.

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  2. Statistical inferences for price staleness. (2020). Pirino, Davide ; Livieri, Giulia ; Kolokolov, Aleksey.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:218:y:2020:i:1:p:32-81.

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  3. Bayesian analysis of structural credit risk models with microstructure noises. (2010). Yu, Jun ; Huang, Shirley J..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:11:p:2259-2272.

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  4. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises. (2009). Yu, Jun ; JunYu, ; Huang, Shirley J..
    In: Finance Working Papers.
    RePEc:eab:financ:23054.

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References

References cited by this document

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Cocites

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    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2021019.

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  2. The one-trading-day-ahead forecast errors of intra-day realized volatility. (2016). Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80163.

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  3. Asymmetric Realized Volatility Risk. (2014). McAleer, Michael ; Allen, David ; Scharth, and Marcel .
    In: Tinbergen Institute Discussion Papers.
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  4. Asymmetric Realized Volatility Risk. (2014). Scharth, Marcel ; McAleer, Michael ; Allen, David.
    In: JRFM.
    RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:80-109:d:37458.

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  5. Realized Volatility Risk. (2013). McAleer, Michael ; Allen, David ; Scharth, Marcel.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130092.

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  6. Volatility estimators based on daily price ranges versus the realized range. (2012). Todorova, Neda.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:22:y:2012:i:3:p:215-229.

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  7. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach. (2012). Strasser, Georg ; Diebold, Francis.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:693.

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  8. Bias-corrected realized variance under dependent microstructure noise. (2011). Oya, Kosuke.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2011:i:7:p:1290-1298.

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  9. Do high-frequency measures of volatility improve forecasts of return distributions?. (2011). McCurdy, Tom ; Maheu, John.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:69-76.

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  10. High-frequency returns, jumps and the mixture of normals hypothesis. (2011). Paye, Bradley S. ; Fleming, Jeff .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:119-128.

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  11. Realized Volatility Risk. (2010). Scharth, Marcel ; McAleer, Michael ; Allen, David.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf197.

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  12. Realized Volatility Risk. (2010). Scharth, Marcel ; McAleer, Michael ; Allen, David.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/26.

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  13. Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data. (2009). Entorf, Horst ; Gro, Anne ; Steiner, Christian.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:7535.

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  14. Realized Volatility Risk. (2009). Scharth, Marcel ; McAleer, Michael ; Allen, David.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf693.

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  15. Does the option market produce superior forecasts of noise-corrected volatility measures?. (2009). Martin, Gael ; Reidy, Andrew ; Wright, Jill .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:1:p:77-104.

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  16. Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias .
    In: Stochastic Processes and their Applications.
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  17. Realized volatility of index constituent stocks in Hong Kong. (2009). Yeung, Hinson S. ; Chow, Ying-Foon ; Lam, James T. K., .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:9:p:2809-2818.

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  18. Estimating stochastic volatility models using daily returns and realized volatility simultaneously. (2009). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2404-2426.

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  19. High frequency market microstructure noise estimates and liquidity measures. (2009). Yu, Jialin ; Ait-Sahalia, Yacine.
    In: Papers.
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  20. On the correlation structure of microstructure noise in theory and practice. (2008). Strasser, Georg ; Diebold, Francis.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200832.

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  21. On the Correlation Structure of Microstructure Noise in Theory and Practice. (2008). Strasser, Georg ; Diebold, Francis.
    In: PIER Working Paper Archive.
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  22. High Frequency Market Microstructure Noise Estimates and Liquidity Measures. (2008). Ait-Sahalia, Yacine ; Yu, Jialin .
    In: NBER Working Papers.
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  23. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries. (2008). Medeiros, Marcelo ; McAleer, Michael.
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  24. Testing for jumps when asset prices are observed with noise-a swap variance approach. (2008). Oomen, Roel ; Jiang, George J..
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  25. A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries. (2007). Medeiros, Marcelo ; McAller, Michael.
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  26. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
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  27. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1598.

    Full description at Econpapers || Download paper

  28. Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts. (2007). Yu, Jun ; JunYu, ; Huang, Shirley J. ; Liu, Qianqiu .
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  29. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
    In: Levine's Bibliography.
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  30. Econometric analysis of high frequency data. (2006). Herwartz, Helmut.
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  31. Subsampling realised kernels. (2006). Shephard, Neil ; Lunde, Asger ; Barndorff-Nielsen, Ole.
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  32. Subsampling realised kernels. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
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  33. Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility. (2006). Martin, Gael ; Reidy, Andrew ; Wright, Jill .
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  34. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde. (2005). Yu, Jun ; Phillips, Peter.
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