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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Hansen, Peter ; Barndorff-Nielsen, Ole ; Lunde, Asger.
In: Economics Series Working Papers.
RePEc:oxf:wpaper:397.

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Cited: 29

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  3. Market Microstructure Effects on Firm Default Risk Evaluation. (2016). Barsotti, Flavia ; Sanfelici, Simona.
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  4. How Predictable Are Equity Covariance Matrices? Evidence from High‐Frequency Data for Four Markets. (2014). Buckle, Mike ; Chen, Jing ; Williams, Julian.
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  5. Assessing the quality of volatility estimators via option pricing. (2014). Simona, Sanfelici ; Adamo, Uboldi .
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  6. A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data. (2013). Kong, Xin-Bing.
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  8. Risk spillovers in international equity portfolios. (2013). Ranaldo, Angelo ; Caporin, Massimiliano ; Bonato, Matteo.
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  9. On loss functions and ranking forecasting performances of multivariate volatility models. (2013). Violante, Francesco ; Rombouts, Jeroen ; Laurent, Sébastien ; Rombouts, Jeroen V. K., .
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  10. On the forecasting accuracy of multivariate GARCH models. (2012). Violante, Francesco ; Laurent, Sébastien ; Jeroen V. K. Rombouts, .
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  15. STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE. (2011). Munnix, Michael C ; Guhr, Thomas ; Schafer, Rudi .
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  16. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano.
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  17. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano.
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  18. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). McAleer, Michael ; Caporin, Massimiliano.
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  19. Compensating asynchrony effects in the calculation of financial correlations. (2010). Munnix, Michael C. ; Guhr, Thomas ; Schafer, Rudi .
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  20. Impact of the tick-size on financial returns and correlations. (2010). Munnix, Michael C. ; Guhr, Thomas ; Schafer, Rudi .
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  28. An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models. (2008). Podolskij, Mark ; Kinnebrock, Silja .
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    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2007_04.

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  30. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-25.

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  31. Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-24.

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  32. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures. (2007). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-14.

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  33. Range-Based Estimation of Quadratic Variation. (2006). Podolskij, Mark ; Christensen, Kim.
    In: Technical Reports.
    RePEc:zbw:sfb475:200637.

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  34. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
    In: Departmental Working Papers.
    RePEc:rut:rutres:200620.

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  35. Predictive Inference for Integrated Volatility. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
    In: Departmental Working Papers.
    RePEc:rut:rutres:200616.

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  36. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0603.

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  37. Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose. (2006). Ng, Wing Lon .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-086.

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  38. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0516.

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  39. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11775.

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  40. Explaining credit default swap spreads with equity volatility and jump risks of individual firms. (2005). Zhou, Hao ; Zhang, Benjamin Yibin ; Zhu, Haibin .
    In: BIS Working Papers.
    RePEc:bis:biswps:181.

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  41. A Feasible Central Limit Theory for Realised Volatility Under Leverage. (2004). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:043.

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  42. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

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  43. Microstructure noise, realized volatility, and optimal sampling. (2004). Bandi, Federico M. ; Russell, Jeffrey R..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:220.

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  44. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0312.

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  45. Measuring and forecasting financial variability using realised variance with and without a model. (2002). Shephard, Neil ; Nielsen, Bent ; Barndorff-Nielsen, Ole ; Ysusi, Carla .
    In: Economics Papers.
    RePEc:nuf:econwp:0221.

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  46. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics. (2002). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0213.

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  47. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:479-508.

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  48. Estimating quadratic variation using realised volatility. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0120.

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  49. How accurate is the asymptotic approximation to the distribution of realised volatility?. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0116.

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  50. Estimating stochastic volatility diffusion using conditional moments of integrated volatility. (2001). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-49.

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