Nothing Special   »   [go: up one dir, main page]
create a website
Nonsynchronous covariation process and limit theorems. (2011). Hayashi, Takaki ; Yoshida, Nakahiro.
In: Stochastic Processes and their Applications.
RePEc:eee:spapps:v:121:y:2011:i:10:p:2416-2454.

Full description at Econpapers || Download paper

Cited: 34

Citations received by this document

Cites: 26

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data. (2024). Fan, Jianqing ; Shin, Minseok ; Kim, Donggyu.
    In: Working Papers.
    RePEc:ucr:wpaper:202419.

    Full description at Econpapers || Download paper

  2. Adaptive robust large volatility matrix estimation based on high-frequency financial data. (2023). Kim, Donggyu ; Shin, Minseok ; Fan, Jianqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002300.

    Full description at Econpapers || Download paper

  3. Quasi-likelihood analysis and its applications. (2022). Yoshida, Nakahiro.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:25:y:2022:i:1:d:10.1007_s11203-021-09266-0.

    Full description at Econpapers || Download paper

  4. Estimation for high-frequency data under parametric market microstructure noise. (2021). Potiron, Yoann ; Clinet, Simon.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:73:y:2021:i:4:d:10.1007_s10463-020-00762-3.

    Full description at Econpapers || Download paper

  5. Estimation for high-frequency data under parametric market microstructure noise. (2020). Potiron, Yoann ; Clinet, Simon.
    In: Papers.
    RePEc:arx:papers:1712.01479.

    Full description at Econpapers || Download paper

  6. Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2020). Koike, Yuta ; Hayashi, Takaki.
    In: Papers.
    RePEc:arx:papers:1708.03992.

    Full description at Econpapers || Download paper

  7. Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

    Full description at Econpapers || Download paper

  8. Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann.
    In: Papers.
    RePEc:arx:papers:1603.05700.

    Full description at Econpapers || Download paper

  9. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:20:y:2017:i:1:d:10.1007_s11203-016-9135-3.

    Full description at Econpapers || Download paper

  10. LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR. (2017). Guillin, Arnaud ; Samoura, Yacouba ; Djellout, Hacene .
    In: Post-Print.
    RePEc:hal:journl:hal-01082903.

    Full description at Econpapers || Download paper

  11. Estimation of the realized (co-)volatility vector: Large deviations approach. (2017). Samoura, Yacouba ; Djellout, Hacene ; Guillin, Arnaud.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:127:y:2017:i:9:p:2926-2960.

    Full description at Econpapers || Download paper

  12. Adaptive estimation of continuous-time regression models using high-frequency data. (2017). Tauchen, George ; Todorov, Viktor ; Li, Jia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:200:y:2017:i:1:p:36-47.

    Full description at Econpapers || Download paper

  13. Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

    Full description at Econpapers || Download paper

  14. Inference for Multi-dimensional High-frequency Data with an Application to Conditional Independence Testing. (2016). Mykland, Per A ; Bibinger, Markus.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:43:y:2016:i:4:p:1078-1102.

    Full description at Econpapers || Download paper

  15. Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per.
    In: Papers.
    RePEc:arx:papers:1507.01033.

    Full description at Econpapers || Download paper

  16. Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. (2015). Vetter, Mathias ; Bibinger, Markus.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:67:y:2015:i:4:p:707-743.

    Full description at Econpapers || Download paper

  17. Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data. (2015). Tauchen, George ; Todorov, Viktor ; Rei, Markus .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:8:p:2955-2988.

    Full description at Econpapers || Download paper

  18. Functional stable limit theorems for quasi-efficient spectral covolatility estimators. (2015). Altmeyer, Randolf ; Bibinger, Markus.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:12:p:4556-4600.

    Full description at Econpapers || Download paper

  19. Estimating the spot covariation of asset prices: Statistical theory and empirical evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:477.

    Full description at Econpapers || Download paper

  20. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-055.

    Full description at Econpapers || Download paper

  21. Functional stable limit theorems for efficient spectral covolatility estimators. (2014). Altmeyer, Randolf ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-005.

    Full description at Econpapers || Download paper

  22. LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR. (2014). Samoura, Yacouba ; Djellout, Hacene ; Guillin, Arnaud.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01082903.

    Full description at Econpapers || Download paper

  23. Large and moderate deviations of realized covolatility. (2014). Samoura, Yacouba ; Djellout, Hacene .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:86:y:2014:i:c:p:30-37.

    Full description at Econpapers || Download paper

  24. Quasi-likelihood analysis for nonsynchronously observed diffusion processes. (2014). Ogihara, Teppei ; Yoshida, Nakahiro.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:124:y:2014:i:9:p:2954-3008.

    Full description at Econpapers || Download paper

  25. Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling. (2014). Koike, Yuta.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:124:y:2014:i:8:p:2699-2753.

    Full description at Econpapers || Download paper

  26. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1464.

    Full description at Econpapers || Download paper

  27. An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps. (2014). Koike, Yuta.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:41:y:2014:i:2:p:460-481.

    Full description at Econpapers || Download paper

  28. Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. (2013). Vetter, Mathias ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2013-029.

    Full description at Econpapers || Download paper

  29. Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency. (2013). Reiss, Markus ; Malec, Peter ; Hautsch, Nikolaus ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2013-017.

    Full description at Econpapers || Download paper

  30. Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. (2013). Vetter, Mathias ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-029.

    Full description at Econpapers || Download paper

  31. Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency. (2013). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-017.

    Full description at Econpapers || Download paper

  32. Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing. (2013). Mykland, Per A. ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-006.

    Full description at Econpapers || Download paper

  33. Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling. (2013). Koike, Yuta.
    In: Global COE Hi-Stat Discussion Paper Series.
    RePEc:hst:ghsdps:gd12-276.

    Full description at Econpapers || Download paper

  34. An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory. (2012). Bibinger, Markus.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:122:y:2012:i:6:p:2411-2453.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Barndorff-Nielsen, O.E. ; Shephard, N. Econometric analysis of realized covariation: high-frequency based covariance, regression and correlation in financial economics. 2004 Econometrica. 72 885-925

  2. Bibby, B.M. ; Sørensen, M. Martingale estimation functions for discretely observed diffusion processes. 1995 Bernoulli. 1 17-39
    Paper not yet in RePEc: Add citation now
  3. C. Robert, M. Rosenbaum, Volatility estimation under endogenous microstructure noise, preprint, 2008.
    Paper not yet in RePEc: Add citation now
  4. Dohnal, G. On estimating the diffusion coefficient. 1987 J. Appl. Probab.. 24 105-114
    Paper not yet in RePEc: Add citation now
  5. Epps, T.W. Comovements in stock prices in the very short run. 1979 J. Amer. Statist. Assoc.. 74 291-298
    Paper not yet in RePEc: Add citation now
  6. Genon-Catalot, V. ; Jacod, J. On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. 1993 Ann. Inst. H. Poincaré Probab. Statist.. 29 119-151
    Paper not yet in RePEc: Add citation now

  7. Hayashi, T. ; Kusuoka, S. Consistent estimation of covariation under nonsynchronicity. 2008 Stat. Inference Stoch. Process.. 11 93-106

  8. Hayashi, T. ; Yoshida, N. Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes. 2008 Ann. Inst. Statist. Math.. 60 357-396

  9. Hayashi, T. ; Yoshida, N. On covariance estimation of non-synchronously observed diffusion processes. 2005 Bernoulli. 11 359-379
    Paper not yet in RePEc: Add citation now

  10. Hoshikawa, T. ; Kanatani, T. ; Nagai, K. ; Nishiyama, Y. Nonparametric estimation methods of integrated multivariate volatilities. 2008 Econometric Rev.. 27 112-138

  11. J. Jacod, Limit of random measures associated with the increments of a Brownian semimartingale, Unpublished Manuscript, 1994.
    Paper not yet in RePEc: Add citation now
  12. Jacod, J. On continuous conditional Gaussian martingales and stable convergence in law. 1997 En : Séminaire de Probabilitiés XXXI. Springer: Berlin, New York
    Paper not yet in RePEc: Add citation now
  13. Jacod, J. ; Protter, P. Asymptotic error distribution for the Euler method for stochastic differential equations. 1998 Ann. Probab.. 26 267-307
    Paper not yet in RePEc: Add citation now
  14. Jacod, J. ; Shiryaev, A.N. Limit Theorems for Stochastic Processes. 2003 Springer-Verlag: Berlin, New York
    Paper not yet in RePEc: Add citation now
  15. Kessler, M. Estimation of an ergodic diffusion from discrete observations. 1997 Scand. J. Statist.. 24 211-229
    Paper not yet in RePEc: Add citation now

  16. M. Ubukata, K. Oya, A test for dependence and covariance estimator of market microstructure noise, Discussion Paper in Economics and Business 07-03-Rev.2, Osaka University, 2008.

  17. Malliavin, P. ; Mancino, M.E. Fourier series method for measurement of multivariate volatilities. 2002 Finance Stoch.. 6 49-61

  18. Mykland, P.A. ; Zhang, L. ANOVA for diffusions and itô processes. 2006 Ann. Statist.. 34 1931-1963

  19. Prakasa Rao, B. . 1999 En : Statistical Inference for Diffusion Type Processes. Arnold: London
    Paper not yet in RePEc: Add citation now
  20. Prakasa Rao, B. Asymptotic theory for non-linear least square estimator for diffusion processes. 1983 Math. Oper.forsch. Stat. Ser. Stat.. 14 195-209
    Paper not yet in RePEc: Add citation now
  21. Prakasa Rao, B. Statistical inference from sampled data for stochastic processes. 1988 En : Statistical Inference from Stochastic Processes (Ithaca, NY, 1987). Amer. Math. Soc.: Providence, RI
    Paper not yet in RePEc: Add citation now
  22. T. Hayashi, N. Yoshida, Asymptotic normality of nonsynchronous covariance estimators for diffusion processes, preprint, 2004.
    Paper not yet in RePEc: Add citation now
  23. T. Hayashi, N. Yoshida, Estimating correlations with nonsynchronous observations in continuous diffusion models, preprint, 2005.
    Paper not yet in RePEc: Add citation now
  24. T. Hayashi, N. Yoshida, Nonsynchronous covariance estimator and limit theorem II, Research Memorandum No. 1067, Institute of Statistical Mathematics, 2008.
    Paper not yet in RePEc: Add citation now
  25. T. Hayashi, N. Yoshida, Nonsynchronous covariance estimator and limit theorem, Research Memorandum No. 1020, Institute of Statistical Mathematics, 2006.
    Paper not yet in RePEc: Add citation now

  26. Yoshida, N. Estimation for diffusion processes from discrete observation. 1992 J. Multivariate Anal.. 41 220-242

Cocites

Documents in RePEc which have cited the same bibliography

  1. Inference for nonparametric high-frequency estimators with an application to time variation in betas. (2015). Kalnina, Ilze.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2015-08.

    Full description at Econpapers || Download paper

  2. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-14.

    Full description at Econpapers || Download paper

  3. Gold, Oil, and Stocks. (2014). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef.
    In: Papers.
    RePEc:arx:papers:1308.0210.

    Full description at Econpapers || Download paper

  4. A latent dynamic factor approach to forecasting multivariate stock market volatility. (2013). Gribisch, Bastian.
    In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79823.

    Full description at Econpapers || Download paper

  5. Matrix Exponential Stochastic Volatility with Cross Leverage. (2013). Omori, Yasuhiro ; Ishihara, Tsunehiro ; Asai, Manabu.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2013cf904.

    Full description at Econpapers || Download paper

  6. Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets. (2013). Baruník, Jozef ; Avdulaj, Krenar.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:63:y:2013:i:5:p:425-442.

    Full description at Econpapers || Download paper

  7. A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework. (2013). Papavassiliou, Vassilios.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:24:y:2013:i:c:p:184-197.

    Full description at Econpapers || Download paper

  8. Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach. (2013). SONG, ZHAOGANG ; Chen, Bin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:83-107.

    Full description at Econpapers || Download paper

  9. Bootstrapping realized multivariate volatility measures. (2013). Meddahi, Nour ; Goncalves, Silvia ; Dovonon, Prosper ; Gonalves, Silvia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:172:y:2013:i:1:p:49-65.

    Full description at Econpapers || Download paper

  10. Asymmetry, realised volatility and stock return risk estimates. (2012). Veiga, Helena ; Grane, Aurea.
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:11:y:2012:i:2:p:147-164.

    Full description at Econpapers || Download paper

  11. The conditional autoregressive Wishart model for multivariate stock market volatility. (2012). Golosnoy, Vasyl ; Liesenfeld, Roman ; Gribisch, Bastian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:167:y:2012:i:1:p:211-223.

    Full description at Econpapers || Download paper

  12. Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies. (2012). Park, Sangun ; Shin, Dong Wan.
    In: Economics Letters.
    RePEc:eee:ecolet:v:115:y:2012:i:3:p:334-337.

    Full description at Econpapers || Download paper

  13. On the estimation of integrated covariance matrices of high dimensional diffusion processes. (2012). Li, Yingying ; Zheng, Xinghua.
    In: Papers.
    RePEc:arx:papers:1005.1862.

    Full description at Econpapers || Download paper

  14. Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation. (2011). Caporin, Massimiliano ; McAleer, M. J..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:23582.

    Full description at Econpapers || Download paper

  15. Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX. (2011). Ishida, Isao ; McAleer, M. J. ; Oya, K..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:22806.

    Full description at Econpapers || Download paper

  16. Data-based ranking of realised volatility estimators. (2011). Patton, Andrew.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:284-303.

    Full description at Econpapers || Download paper

  17. Volatility forecast comparison using imperfect volatility proxies. (2011). Patton, Andrew.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:246-256.

    Full description at Econpapers || Download paper

  18. Identifying the Brownian Covariation from the Co-Jumps Given Discrete Observations. (2010). Gobbi, Fabio ; Mancini, Cecilia.
    In: Working Papers - Mathematical Economics.
    RePEc:flo:wpaper:2010-05.

    Full description at Econpapers || Download paper

  19. Noise and efficient variance in the Indonesia Stock Exchange. (2010). Husodo, Zaafri A. ; Henker, Thomas.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:18:y:2010:i:2:p:199-216.

    Full description at Econpapers || Download paper

  20. Long memory versus structural breaks in modeling and forecasting realized volatility. (2010). Yu, Wei-Choun ; Choi, Kyongwook ; Zivot, Eric.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:5:p:857-875.

    Full description at Econpapers || Download paper

  21. The introduction of the Euro and its effects on portfolio decisions. (2010). Haselmann, Rainer ; Herwartz, Helmut.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:1:p:94-110.

    Full description at Econpapers || Download paper

  22. Correcting microstructure comovement biases for integrated covariance. (2010). Wang, Jying-Nan ; Yeh, Jin-Huei.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:7:y:2010:i:3:p:184-191.

    Full description at Econpapers || Download paper

  23. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2010). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; CHABOUD, ALAIN P..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:2:p:212-240.

    Full description at Econpapers || Download paper

  24. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2010). Podolskij, Mark ; Christensen, Kim ; Kinnebrock, Silja .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:116-133.

    Full description at Econpapers || Download paper

  25. An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data. (2009). Morimoto, Takayki ; Masuda, Hiroki.
    In: Global COE Hi-Stat Discussion Paper Series.
    RePEc:hst:ghsdps:gd08-033.

    Full description at Econpapers || Download paper

  26. A framework for assessing the systemic risk of major financial institutions. (2009). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2009-37.

    Full description at Econpapers || Download paper

  27. A framework for assessing the systemic risk of major financial institutions. (2009). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:11:p:2036-2049.

    Full description at Econpapers || Download paper

  28. Optimal combinations of realised volatility estimators. (2009). Sheppard, Kevin ; Patton, Andrew.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:218-238.

    Full description at Econpapers || Download paper

  29. Functional modelling of volatility in the Swedish limit order book. (2009). Elezovic, Suad .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2107-2118.

    Full description at Econpapers || Download paper

  30. A Framework for Assessing the Systemic Risk of Major Financial Institutions. (2009). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
    In: BIS Working Papers.
    RePEc:bis:biswps:281.

    Full description at Econpapers || Download paper

  31. Portfolio performance and the Euro: Prospects for new potential EMU members. (2008). Haselmann, Rainer ; Herwartz, Helmut.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:27:y:2008:i:2:p:314-330.

    Full description at Econpapers || Download paper

  32. Quarterly beta forecasting: An evaluation. (2008). HOOPER, VINCENT ; Ng, Kevin ; Reeves, Jonathan J..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:24:y:2008:i:3:p:480-489.

    Full description at Econpapers || Download paper

  33. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2008). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; Chaboud, Alain.
    In: BIS Working Papers.
    RePEc:bis:biswps:249.

    Full description at Econpapers || Download paper

  34. Identifying the covariation between the diffusion parts and the co-jumps given discrete observations. (2008). Gobbi, Fabio ; Mancini, Cecilia.
    In: Papers.
    RePEc:arx:papers:math/0610621.

    Full description at Econpapers || Download paper

  35. Estimating correlation from high, low, opening and closing prices. (2008). Rogers, Leonard ; L. C. G. Rogers, ; Zhou, Fanyin.
    In: Papers.
    RePEc:arx:papers:0804.0162.

    Full description at Econpapers || Download paper

  36. Modelling and Forecasting Multivariate Realized Volatility. (2008). Voev, Valeri ; Halbleib, Roxana.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-39.

    Full description at Econpapers || Download paper

  37. Efficient estimation of drift parameters in stochastic volatility models. (2007). Gloter, Arnaud.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:4:p:495-519.

    Full description at Econpapers || Download paper

  38. Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines. (2007). Laurini, Márcio.
    In: Insper Working Papers.
    RePEc:ibm:ibmecp:wpe_89.

    Full description at Econpapers || Download paper

  39. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2007). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; Chaboud, Alain.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:905.

    Full description at Econpapers || Download paper

  40. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-20.

    Full description at Econpapers || Download paper

  41. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-21.

    Full description at Econpapers || Download paper

  42. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
    In: Research Paper Series.
    RePEc:uts:rpaper:175.

    Full description at Econpapers || Download paper

  43. Econometric analysis of high frequency data. (2006). Herwartz, Helmut.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:90:y:2006:i:1:p:89-104.

    Full description at Econpapers || Download paper

  44. Dynamics of realized volatilities and correlations: An empirical study. (2006). Lalancette, Simon ; Ferland, Rene.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:7:p:2109-2130.

    Full description at Econpapers || Download paper

  45. Volatility forecasts: a continuous time model versus discrete time models. (2006). Veiga, Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws062509.

    Full description at Econpapers || Download paper

  46. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Wu, Jin.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-009.

    Full description at Econpapers || Download paper

  47. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

    Full description at Econpapers || Download paper

  48. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Wu, Jin.
    In: American Economic Review.
    RePEc:aea:aecrev:v:95:y:2005:i:2:p:398-404.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  50. The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-20.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-07-17 16:52:21 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated July, 2 2024. Contact: Jose Manuel Barrueco.