Andersen, Torben G.; Todorov, Viktor; Ubukata, Masato Tail risk and return predictability for the Japanese equity market. (English) Zbl 07327198 J. Econom. 222, No. 1, 344-363 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{T. G. Andersen} et al., J. Econom. 222, No. 1, 344--363 (2021; Zbl 07327198) Full Text: DOI
Emmanuel, Coffie; Mao, Xuerong Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay. (English) Zbl 1448.62146 J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021). MSC: 62P05 62M10 91G30 62-08 PDF BibTeX XML Cite \textit{C. Emmanuel} and \textit{X. Mao}, J. Comput. Appl. Math. 383, Article ID 113137, 19 p. (2021; Zbl 1448.62146) Full Text: DOI
Kim, Jihyun; Meddahi, Nour Volatility regressions with fat tails. (English) Zbl 07308428 J. Econom. 218, No. 2, 690-713 (2020). MSC: 62 91 PDF BibTeX XML Cite \textit{J. Kim} and \textit{N. Meddahi}, J. Econom. 218, No. 2, 690--713 (2020; Zbl 07308428) Full Text: DOI
Nikulin, E. E.; Pekhterev, A. A. Turbulence on financial markets and multiplicative cascade model of volatility. (Russian. English summary) Zbl 1454.91258 Mat. Model. 32, No. 12, 43-54 (2020). MSC: 91G15 PDF BibTeX XML Cite \textit{E. E. Nikulin} and \textit{A. A. Pekhterev}, Mat. Model. 32, No. 12, 43--54 (2020; Zbl 1454.91258) Full Text: DOI MNR
Pan, Zhiyuan; Bu, Ruijun; Liu, Li; Wang, Yudong Macroeconomic fundamentals, jump dynamics and expected volatility. (English) Zbl 1454.91233 Quant. Finance 20, No. 8, 1345-1371 (2020). MSC: 91G10 62P05 62M10 PDF BibTeX XML Cite \textit{Z. Pan} et al., Quant. Finance 20, No. 8, 1345--1371 (2020; Zbl 1454.91233) Full Text: DOI
Li, Xingyi; Zakamulin, Valeriy Stock volatility predictability in bull and bear markets. (English) Zbl 1454.91255 Quant. Finance 20, No. 7, 1149-1167 (2020). MSC: 91G15 62P05 62M20 PDF BibTeX XML Cite \textit{X. Li} and \textit{V. Zakamulin}, Quant. Finance 20, No. 7, 1149--1167 (2020; Zbl 1454.91255) Full Text: DOI
Zheng, Y. X.; Zhang, Y. H.; Lu, X. H. On the volatility of high frequency stock index based on SV model of MCMC. (English) Zbl 1454.91363 Roy, Priti Kumar (ed.) et al., Mathematical analysis and applications in modeling. Selected papers presented at the international conference, ICMAAM 2018, Kolkata, India, January 9–12, 2018. Singapore: Springer. Springer Proc. Math. Stat. 302, 271-278 (2020). MSC: 91G60 65C05 91G15 PDF BibTeX XML Cite \textit{Y. X. Zheng} et al., Springer Proc. Math. Stat. 302, 271--278 (2020; Zbl 1454.91363) Full Text: DOI
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco Dynamics of variance risk premia: a new model for disentangling the price of risk. (English) Zbl 07213052 J. Econom. 217, No. 2, 312-334 (2020). MSC: 62P05 91G70 PDF BibTeX XML Cite \textit{J. V. K. Rombouts} et al., J. Econom. 217, No. 2, 312--334 (2020; Zbl 07213052) Full Text: DOI
Laurent, Sébastien; Shi, Shuping Volatility estimation and jump detection for drift-diffusion processes. (English) Zbl 07213050 J. Econom. 217, No. 2, 259-290 (2020). MSC: 62P05 62M10 60J60 62P20 91B84 PDF BibTeX XML Cite \textit{S. Laurent} and \textit{S. Shi}, J. Econom. 217, No. 2, 259--290 (2020; Zbl 07213050) Full Text: DOI
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît The contribution of intraday jumps to forecasting the density of returns. (English) Zbl 07202047 J. Econ. Dyn. Control 113, Article ID 103853, 24 p. (2020). MSC: 91 PDF BibTeX XML Cite \textit{C. Chorro} et al., J. Econ. Dyn. Control 113, Article ID 103853, 24 p. (2020; Zbl 07202047) Full Text: DOI
Haynes, Jonathan; Schmitt, Daniel; Grimm, Lukas Estimating stochastic volatility: the rough side to equity returns. (English) Zbl 1432.91124 Decis. Econ. Finance 42, No. 2, 449-469 (2019). MSC: 91G20 62P05 62M20 PDF BibTeX XML Cite \textit{J. Haynes} et al., Decis. Econ. Finance 42, No. 2, 449--469 (2019; Zbl 1432.91124) Full Text: DOI
Borup, Daniel; Jakobsen, Johan S. Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model. (English) Zbl 1435.62420 Quant. Finance 19, No. 11, 1839-1855 (2019). MSC: 62P20 62M10 91B84 PDF BibTeX XML Cite \textit{D. Borup} and \textit{J. S. Jakobsen}, Quant. Finance 19, No. 11, 1839--1855 (2019; Zbl 1435.62420) Full Text: DOI
Nugroho, Didit Budi; Morimoto, Takayuki Incorporating realized quarticity into a realized stochastic volatility model. (English) Zbl 1425.91429 Asia-Pac. Financ. Mark. 26, No. 4, 495-528 (2019). MSC: 91G60 65C05 65C40 PDF BibTeX XML Cite \textit{D. B. Nugroho} and \textit{T. Morimoto}, Asia-Pac. Financ. Mark. 26, No. 4, 495--528 (2019; Zbl 1425.91429) Full Text: DOI
Izzeldin, Marwan; Hassan, M. Kabir; Pappas, Vasileios; Tsionas, Mike Forecasting realised volatility using ARFIMA and HAR models. (English) Zbl 1429.62472 Quant. Finance 19, No. 10, 1627-1638 (2019). MSC: 62P05 62M10 91B84 PDF BibTeX XML Cite \textit{M. Izzeldin} et al., Quant. Finance 19, No. 10, 1627--1638 (2019; Zbl 1429.62472) Full Text: DOI
Aït-Sahalia, Yacine; Xiu, Dacheng A Hausman test for the presence of market microstructure noise in high frequency data. (English) Zbl 1452.62873 J. Econom. 211, No. 1, 176-205 (2019). MSC: 62P20 62F03 62F05 62P05 PDF BibTeX XML Cite \textit{Y. Aït-Sahalia} and \textit{D. Xiu}, J. Econom. 211, No. 1, 176--205 (2019; Zbl 1452.62873) Full Text: DOI
Clinet, Simon; Potiron, Yoann Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (English) Zbl 1452.62754 J. Econom. 209, No. 2, 289-337 (2019). MSC: 62P05 62F12 PDF BibTeX XML Cite \textit{S. Clinet} and \textit{Y. Potiron}, J. Econom. 209, No. 2, 289--337 (2019; Zbl 1452.62754) Full Text: DOI
Pelger, Markus Large-dimensional factor modeling based on high-frequency observations. (English) Zbl 1452.62786 J. Econom. 208, No. 1, 23-42 (2019). MSC: 62P05 62H25 62H12 62P20 PDF BibTeX XML Cite \textit{M. Pelger}, J. Econom. 208, No. 1, 23--42 (2019; Zbl 1452.62786) Full Text: DOI
Choi, Ji-Eun; Shin, Dong Wan Quantile forecasts for financial volatilities based on parametric and asymmetric models. (English) Zbl 1417.37296 J. Korean Stat. Soc. 48, No. 1, 68-83 (2019). Reviewer: Tak Kuen Siu (Sydney) MSC: 37N40 37M10 62P20 91B30 PDF BibTeX XML Cite \textit{J.-E. Choi} and \textit{D. W. Shin}, J. Korean Stat. Soc. 48, No. 1, 68--83 (2019; Zbl 1417.37296) Full Text: DOI
Nika, Z.; Rásonyi, M. Log-optimal portfolios with memory effect. (English) Zbl 1411.91522 Appl. Math. Finance 25, No. 5-6, 557-585 (2018). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{Z. Nika} and \textit{M. Rásonyi}, Appl. Math. Finance 25, No. 5--6, 557--585 (2018; Zbl 1411.91522) Full Text: DOI
Funke, Benedikt; Schmisser, Émeline Adaptive nonparametric drift estimation of an integrated jump diffusion process. (English) Zbl 1409.62161 ESAIM, Probab. Stat. 22, 236-260 (2018). MSC: 62M05 62G05 60J75 60G51 PDF BibTeX XML Cite \textit{B. Funke} and \textit{É. Schmisser}, ESAIM, Probab. Stat. 22, 236--260 (2018; Zbl 1409.62161) Full Text: DOI
Lai, Yu-Sheng Dynamic hedging with futures: a copula-based GARCH model with high-frequency data. (English) Zbl 1405.91633 Rev. Deriv. Res. 21, No. 3, 307-329 (2018). MSC: 91G20 62P05 62H05 62M10 PDF BibTeX XML Cite \textit{Y.-S. Lai}, Rev. Deriv. Res. 21, No. 3, 307--329 (2018; Zbl 1405.91633) Full Text: DOI
Hallam, Mark; Olmo, Jose Statistical tests of distributional scaling properties for financial return series. (English) Zbl 1405.62141 Quant. Finance 18, No. 7, 1211-1232 (2018). MSC: 62P05 62M10 PDF BibTeX XML Cite \textit{M. Hallam} and \textit{J. Olmo}, Quant. Finance 18, No. 7, 1211--1232 (2018; Zbl 1405.62141) Full Text: DOI
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu Volatility is rough. (English) Zbl 1400.91590 Quant. Finance 18, No. 6, 933-949 (2018). MSC: 91G20 60G22 60J60 PDF BibTeX XML Cite \textit{J. Gatheral} et al., Quant. Finance 18, No. 6, 933--949 (2018; Zbl 1400.91590) Full Text: DOI
Liu, Fei; Pantelous, Athanasios A.; von Mettenheim, Hans-Jörg Forecasting and trading high frequency volatility on large indices. (English) Zbl 1400.91555 Quant. Finance 18, No. 5, 737-748 (2018). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{F. Liu} et al., Quant. Finance 18, No. 5, 737--748 (2018; Zbl 1400.91555) Full Text: DOI
Varneskov, Rasmus T.; Perron, Pierre Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. (English) Zbl 1406.62151 Quant. Finance 18, No. 3, 371-393 (2018). MSC: 62P20 62M20 91B84 PDF BibTeX XML Cite \textit{R. T. Varneskov} and \textit{P. Perron}, Quant. Finance 18, No. 3, 371--393 (2018; Zbl 1406.62151) Full Text: DOI
Shin, Dong Wan Forecasting realized volatility: a review. (English) Zbl 1406.62129 J. Korean Stat. Soc. 47, No. 4, 395-404 (2018). MSC: 62P05 62M20 91B84 PDF BibTeX XML Cite \textit{D. W. Shin}, J. Korean Stat. Soc. 47, No. 4, 395--404 (2018; Zbl 1406.62129) Full Text: DOI
Clinet, Simon; Potiron, Yoann Efficient asymptotic variance reduction when estimating volatility in high frequency data. (English) Zbl 1398.62288 J. Econom. 206, No. 1, 103-142 (2018). MSC: 62P05 62M09 91G70 PDF BibTeX XML Cite \textit{S. Clinet} and \textit{Y. Potiron}, J. Econom. 206, No. 1, 103--142 (2018; Zbl 1398.62288) Full Text: DOI
Bibinger, Markus; Winkelmann, Lars Common price and volatility jumps in noisy high-frequency data. (English) Zbl 1398.62281 Electron. J. Stat. 12, No. 1, 2018-2073 (2018). Reviewer: Frank Werner (Göttingen) MSC: 62P05 62M09 62G10 62M10 PDF BibTeX XML Cite \textit{M. Bibinger} and \textit{L. Winkelmann}, Electron. J. Stat. 12, No. 1, 2018--2073 (2018; Zbl 1398.62281) Full Text: DOI Euclid
Ronald Gallant, A.; Tauchen, George Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale. (English) Zbl 1452.62605 J. Econom. 205, No. 1, 140-155 (2018). MSC: 62M05 62F15 60G48 62P05 62P20 PDF BibTeX XML Cite \textit{A. Ronald Gallant} and \textit{G. Tauchen}, J. Econom. 205, No. 1, 140--155 (2018; Zbl 1452.62605) Full Text: DOI
Xia, Ningning; Zheng, Xinghua On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations. (English) Zbl 06870270 Ann. Stat. 46, No. 2, 500-525 (2018). MSC: 62H12 62G99 60F15 PDF BibTeX XML Cite \textit{N. Xia} and \textit{X. Zheng}, Ann. Stat. 46, No. 2, 500--525 (2018; Zbl 06870270) Full Text: DOI arXiv
Beyaztas, Beste Hamiye; Beyaztas, Ufuk; Bandyopadhyay, Soutir; Huang, Wei-Min New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates. (English) Zbl 1387.62098 Sankhyā, Ser. A 80, No. 1, 168-194 (2018). MSC: 62M10 62G09 62M20 62P05 PDF BibTeX XML Cite \textit{B. H. Beyaztas} et al., Sankhyā, Ser. A 80, No. 1, 168--194 (2018; Zbl 1387.62098) Full Text: DOI
Liu, Zhi; Kong, Xin-Bing; Jing, Bing-Yi Estimating the integrated volatility using high-frequency data with zero durations. (English) Zbl 1387.62110 J. Econom. 204, No. 1, 18-32 (2018). MSC: 62P05 62E20 60G44 60F05 PDF BibTeX XML Cite \textit{Z. Liu} et al., J. Econom. 204, No. 1, 18--32 (2018; Zbl 1387.62110) Full Text: DOI
Chin, Wen Cheong; Lee, Min Cherng; Tan, Pei Pei Heterogenous market hypothesis evaluation using multipower variation volatility. (English) Zbl 06865594 Commun. Stat., Simulation Comput. 46, No. 8, 6574-6587 (2017). MSC: 62P05 91B84 PDF BibTeX XML Cite \textit{W. C. Chin} et al., Commun. Stat., Simulation Comput. 46, No. 8, 6574--6587 (2017; Zbl 06865594) Full Text: DOI
Tangsgaard Varneskov, Rasmus Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels. (English) Zbl 1396.62248 Econom. Theory 33, No. 6, 1457-1501 (2017). MSC: 62P05 62M15 62G07 PDF BibTeX XML Cite \textit{R. Tangsgaard Varneskov}, Econom. Theory 33, No. 6, 1457--1501 (2017; Zbl 1396.62248) Full Text: DOI
Shephard, Neil; Xiu, Dacheng Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading. (English) Zbl 1391.62295 J. Econom. 201, No. 1, 19-42 (2017). MSC: 62P20 62G05 62H12 PDF BibTeX XML Cite \textit{N. Shephard} and \textit{D. Xiu}, J. Econom. 201, No. 1, 19--42 (2017; Zbl 1391.62295) Full Text: DOI
Gurgul, Henryk; Machno, Artur The impact of asynchronous trading on Epps effect on Warsaw stock exchange. (English) Zbl 1371.91194 CEJOR, Cent. Eur. J. Oper. Res. 25, No. 2, 287-301 (2017). MSC: 91G70 62M10 91B84 62P05 PDF BibTeX XML Cite \textit{H. Gurgul} and \textit{A. Machno}, CEJOR, Cent. Eur. J. Oper. Res. 25, No. 2, 287--301 (2017; Zbl 1371.91194) Full Text: DOI
Chen, Richard Y.; Mykland, Per A. Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (English) Zbl 1388.62304 J. Econom. 200, No. 1, 79-103 (2017). MSC: 62P05 62M10 60G48 60F05 PDF BibTeX XML Cite \textit{R. Y. Chen} and \textit{P. A. Mykland}, J. Econom. 200, No. 1, 79--103 (2017; Zbl 1388.62304) Full Text: DOI
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael Realized stochastic volatility with general asymmetry and long memory. (English) Zbl 1388.62245 J. Econom. 199, No. 2, 202-212 (2017). MSC: 62M10 62P05 62P20 PDF BibTeX XML Cite \textit{M. Asai} et al., J. Econom. 199, No. 2, 202--212 (2017; Zbl 1388.62245) Full Text: DOI
Xiao, Chang; Zhou, Jinsheng Pricing mining concessions based on combined multinomial pricing model. (English) Zbl 1405.91499 Discrete Dyn. Nat. Soc. 2017, Article ID 2196702, 9 p. (2017). MSC: 91B76 91B24 PDF BibTeX XML Cite \textit{C. Xiao} and \textit{J. Zhou}, Discrete Dyn. Nat. Soc. 2017, Article ID 2196702, 9 p. (2017; Zbl 1405.91499) Full Text: DOI
Renault, Eric; Sarisoy, Cisil; Werker, Bas J. M. Efficient estimation of integrated volatility and related processes. (English) Zbl 1442.62755 Econom. Theory 33, No. 2, 439-478 (2017). MSC: 62P20 62P05 PDF BibTeX XML Cite \textit{E. Renault} et al., Econom. Theory 33, No. 2, 439--478 (2017; Zbl 1442.62755) Full Text: DOI
Liu, Zhi Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. (English) Zbl 1379.62061 Finance Stoch. 21, No. 2, 427-469 (2017). Reviewer: Pavel Stoynov (Sofia) MSC: 62P05 62M09 62E20 60G44 60F05 PDF BibTeX XML Cite \textit{Z. Liu}, Finance Stoch. 21, No. 2, 427--469 (2017; Zbl 1379.62061) Full Text: DOI
Nugroho, Didit B.; Morimoto, Takayuki Box-Cox realized asymmetric stochastic volatility models with generalized Student’s \(t\)-error distributions. (English) Zbl 07281595 J. Appl. Stat. 43, No. 10, 1906-1927 (2016). MSC: 62 PDF BibTeX XML Cite \textit{D. B. Nugroho} and \textit{T. Morimoto}, J. Appl. Stat. 43, No. 10, 1906--1927 (2016; Zbl 07281595) Full Text: DOI
Neto, David Extracting volatility signal using maximum a posteriori estimation. (English) Zbl 1400.91353 Physica A 461, 788-794 (2016). MSC: 91B64 90C40 PDF BibTeX XML Cite \textit{D. Neto}, Physica A 461, 788--794 (2016; Zbl 1400.91353) Full Text: DOI
Lyócsa, Štefan; Molnár, Peter Volatility forecasting of strategically linked commodity ETFs: gold-silver. (English) Zbl 1400.91602 Quant. Finance 16, No. 12, 1809-1822 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{Š. Lyócsa} and \textit{P. Molnár}, Quant. Finance 16, No. 12, 1809--1822 (2016; Zbl 1400.91602) Full Text: DOI
Fengler, Matthias R.; Okhrin, Ostap Managing risk with a realized copula parameter. (English) Zbl 06918328 Comput. Stat. Data Anal. 100, 131-152 (2016). MSC: 62 PDF BibTeX XML Cite \textit{M. R. Fengler} and \textit{O. Okhrin}, Comput. Stat. Data Anal. 100, 131--152 (2016; Zbl 06918328) Full Text: DOI
Dissanayake, G. S.; Peiris, M. S.; Proietti, T. State space modeling of Gegenbauer processes with long memory. (English) Zbl 06918327 Comput. Stat. Data Anal. 100, 115-130 (2016). MSC: 62 PDF BibTeX XML Cite \textit{G. S. Dissanayake} et al., Comput. Stat. Data Anal. 100, 115--130 (2016; Zbl 06918327) Full Text: DOI
Barde, Sylvain Direct comparison of agent-based models of herding in financial markets. (English) Zbl 1401.91456 J. Econ. Dyn. Control 73, 329-353 (2016). MSC: 91B69 91G70 91B84 91B82 62P05 PDF BibTeX XML Cite \textit{S. Barde}, J. Econ. Dyn. Control 73, 329--353 (2016; Zbl 1401.91456) Full Text: DOI
Uchida, Masayuki; Yoshida, Nakahiro Model selection for volatility prediction. (English) Zbl 1359.62348 Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 343-360 (2016). MSC: 62M05 60J60 62B10 PDF BibTeX XML Cite \textit{M. Uchida} and \textit{N. Yoshida}, in: The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer. 343--360 (2016; Zbl 1359.62348) Full Text: DOI
Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas Modeling and forecasting exchange rate volatility in time-frequency domain. (English) Zbl 1346.62101 Eur. J. Oper. Res. 251, No. 1, 329-340 (2016). MSC: 62P05 62M10 62M20 PDF BibTeX XML Cite \textit{J. Barunik} et al., Eur. J. Oper. Res. 251, No. 1, 329--340 (2016; Zbl 1346.62101) Full Text: DOI
Jiang, Hui; Saart, Patrick W.; Xia, Yingcun Asymmetric conditional correlations in stock returns. (English) Zbl 1400.62236 Ann. Appl. Stat. 10, No. 2, 989-1018 (2016). MSC: 62P05 62M10 62H25 PDF BibTeX XML Cite \textit{H. Jiang} et al., Ann. Appl. Stat. 10, No. 2, 989--1018 (2016; Zbl 1400.62236) Full Text: DOI Euclid
Mykland, Per A.; Zhang, Lan Between data cleaning and inference: pre-averaging and robust estimators of the efficient price. (English) Zbl 1443.62366 J. Econom. 194, No. 2, 242-262 (2016). MSC: 62P05 60F05 60G44 62F12 PDF BibTeX XML Cite \textit{P. A. Mykland} and \textit{L. Zhang}, J. Econom. 194, No. 2, 242--262 (2016; Zbl 1443.62366) Full Text: DOI
Cho, Soojin; Shin, Dong Wan An integrated heteroscedastic autoregressive model for forecasting realized volatilities. (English) Zbl 1342.62146 J. Korean Stat. Soc. 45, No. 3, 371-380 (2016). MSC: 62M10 62M20 62P05 PDF BibTeX XML Cite \textit{S. Cho} and \textit{D. W. Shin}, J. Korean Stat. Soc. 45, No. 3, 371--380 (2016; Zbl 1342.62146) Full Text: DOI
Zhang, Bo; Bi, Tao Intraday serial correlation, volatility, and jump: evidence from China’s stock market. (English) Zbl 1343.62035 Commun. Stat., Simulation Comput. 45, No. 4, 1226-1239 (2016). MSC: 62P05 62G32 62M10 65C20 PDF BibTeX XML Cite \textit{B. Zhang} and \textit{T. Bi}, Commun. Stat., Simulation Comput. 45, No. 4, 1226--1239 (2016; Zbl 1343.62035) Full Text: DOI
Andreou, Elena On the use of high frequency measures of volatility in MIDAS regressions. (English) Zbl 1431.62468 J. Econom. 193, No. 2, 367-389 (2016). MSC: 62P05 91G70 PDF BibTeX XML Cite \textit{E. Andreou}, J. Econom. 193, No. 2, 367--389 (2016; Zbl 1431.62468) Full Text: DOI
Park, Sujin; Hong, Seok Young; Linton, Oliver Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (English) Zbl 1422.91809 J. Econom. 191, No. 2, 325-347 (2016). MSC: 91G99 62P05 PDF BibTeX XML Cite \textit{S. Park} et al., J. Econom. 191, No. 2, 325--347 (2016; Zbl 1422.91809) Full Text: DOI
Barunik, Jozef; Vacha, Lukas Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (English) Zbl 1406.91432 Quant. Finance 15, No. 8, 1347-1364 (2015). MSC: 91G20 62P05 42C40 PDF BibTeX XML Cite \textit{J. Barunik} and \textit{L. Vacha}, Quant. Finance 15, No. 8, 1347--1364 (2015; Zbl 1406.91432) Full Text: DOI
Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre What does financial volatility tell us about macroeconomic fluctuations? (English) Zbl 1402.91423 J. Econ. Dyn. Control 52, 340-360 (2015). MSC: 91B64 91B70 PDF BibTeX XML Cite \textit{M. Chauvet} et al., J. Econ. Dyn. Control 52, 340--360 (2015; Zbl 1402.91423) Full Text: DOI
Ceylan, Ozcan Limited information-processing capacity and asymmetric stock correlations. (English) Zbl 1398.91678 Quant. Finance 15, No. 6, 1031-1039 (2015). MSC: 91G70 PDF BibTeX XML Cite \textit{O. Ceylan}, Quant. Finance 15, No. 6, 1031--1039 (2015; Zbl 1398.91678) Full Text: DOI
Zheng, Tingguo; Xiao, Han; Chen, Rong Generalized ARMA models with martingale difference errors. (English) Zbl 1337.62284 J. Econom. 189, No. 2, 492-506 (2015). MSC: 62M10 60G42 62F10 62F12 62E20 PDF BibTeX XML Cite \textit{T. Zheng} et al., J. Econom. 189, No. 2, 492--506 (2015; Zbl 1337.62284) Full Text: DOI
Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes. (English) Zbl 1337.62329 J. Econom. 187, No. 1, 293-311 (2015). MSC: 62P05 91G70 PDF BibTeX XML Cite \textit{L. Y. Liu} et al., J. Econom. 187, No. 1, 293--311 (2015; Zbl 1337.62329) Full Text: DOI
Nugroho, Didit B.; Morimoto, Takayuki Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods. (English) Zbl 1317.65044 Comput. Stat. 30, No. 2, 491-516 (2015). MSC: 65C60 62P05 65C40 PDF BibTeX XML Cite \textit{D. B. Nugroho} and \textit{T. Morimoto}, Comput. Stat. 30, No. 2, 491--516 (2015; Zbl 1317.65044) Full Text: DOI
Simard, Clarence; Rémillard, Bruno Forecasting time series with multivariate copulas. (English) Zbl 1328.62546 Depend. Model. 3, 59-82 (2015). MSC: 62M20 PDF BibTeX XML Cite \textit{C. Simard} and \textit{B. Rémillard}, Depend. Model. 3, 59--82 (2015; Zbl 1328.62546) Full Text: DOI
Duong, Diep; Swanson, Norman R. Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction. (English) Zbl 1337.62325 J. Econom. 187, No. 2, 606-621 (2015). MSC: 62P05 62-07 91G70 PDF BibTeX XML Cite \textit{D. Duong} and \textit{N. R. Swanson}, J. Econom. 187, No. 2, 606--621 (2015; Zbl 1337.62325) Full Text: DOI
Majewski, Adam A.; Bormetti, Giacomo; Corsi, Fulvio Smile from the past: a general option pricing framework with multiple volatility and leverage components. (English) Zbl 1337.91149 J. Econom. 187, No. 2, 521-531 (2015). MSC: 91G70 91G20 62M10 62P05 PDF BibTeX XML Cite \textit{A. A. Majewski} et al., J. Econom. 187, No. 2, 521--531 (2015; Zbl 1337.91149) Full Text: DOI
Baltazar Larios, Fernando Estimating paleotemperatures via integrated diffusion processes. (Spanish) Zbl 1439.62234 Misc. Mat. 58.1, 69-86 (2014). MSC: 62P12 60J60 62M05 PDF BibTeX XML Cite \textit{F. Baltazar Larios}, Misc. Mat. 58.1, 69--86 (2014; Zbl 1439.62234) Full Text: Link
Qu, Hui; Ji, Ping Adaptive heterogeneous autoregressive models of realized volatility based on a genetic algorithm. (English) Zbl 07023364 Abstr. Appl. Anal. 2014, Article ID 943041, 8 p. (2014). MSC: 62 PDF BibTeX XML Cite \textit{H. Qu} and \textit{P. Ji}, Abstr. Appl. Anal. 2014, Article ID 943041, 8 p. (2014; Zbl 07023364) Full Text: DOI
Wang, Fangfang Optimal design of Fourier estimator in the presence of microstructure noise. (English) Zbl 06984004 Comput. Stat. Data Anal. 76, 708-722 (2014). MSC: 62 PDF BibTeX XML Cite \textit{F. Wang}, Comput. Stat. Data Anal. 76, 708--722 (2014; Zbl 06984004) Full Text: DOI
Grassi, Stefano; Santucci de Magistris, Paolo When long memory meets the Kalman filter: a comparative study. (English) Zbl 06983981 Comput. Stat. Data Anal. 76, 301-319 (2014). MSC: 62 PDF BibTeX XML Cite \textit{S. Grassi} and \textit{P. Santucci de Magistris}, Comput. Stat. Data Anal. 76, 301--319 (2014; Zbl 06983981) Full Text: DOI
Malec, Peter; Schienle, Melanie Nonparametric kernel density estimation near the boundary. (English) Zbl 06983891 Comput. Stat. Data Anal. 72, 57-76 (2014). MSC: 62 PDF BibTeX XML Cite \textit{P. Malec} and \textit{M. Schienle}, Comput. Stat. Data Anal. 72, 57--76 (2014; Zbl 06983891) Full Text: DOI
Almeida, Rui Jorge; Baştürk, Nalan; Kaymak, Uzay; Sousa, João M. C. Estimation of flexible fuzzy GARCH models for conditional density estimation. (English) Zbl 1343.62051 Inf. Sci. 267, 252-266 (2014). MSC: 62M10 62M86 62P05 PDF BibTeX XML Cite \textit{R. J. Almeida} et al., Inf. Sci. 267, 252--266 (2014; Zbl 1343.62051) Full Text: DOI
Triacca, Umberto; Focker, Fulvia Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach. (English) Zbl 1398.62328 Decis. Econ. Finance 37, No. 2, 235-254 (2014). MSC: 62P05 91G10 62M10 PDF BibTeX XML Cite \textit{U. Triacca} and \textit{F. Focker}, Decis. Econ. Finance 37, No. 2, 235--254 (2014; Zbl 1398.62328) Full Text: DOI
Li, Cui-Xia; Chen, Jin-Yuan; Liu, Zhi; Jing, Bing-Yi On integrated volatility of Itô semimartingales when sampling times are endogenous. (English) Zbl 1307.62064 Commun. Stat., Theory Methods 43, No. 24, 5263-5275 (2014). MSC: 62F12 62M05 60H10 60G48 PDF BibTeX XML Cite \textit{C.-X. Li} et al., Commun. Stat., Theory Methods 43, No. 24, 5263--5275 (2014; Zbl 1307.62064) Full Text: DOI
Yu, Chao; Fang, Yue; Li, Zeng; Zhang, Bo; Zhao, Xujie Non-parametric estimation of high-frequency spot volatility for Brownian semimartingale with jumps. (English) Zbl 1311.62176 J. Time Ser. Anal. 35, No. 6, 572-591 (2014). MSC: 62P05 62M10 62G07 62G20 60G48 60J65 60J75 91B84 91G70 PDF BibTeX XML Cite \textit{C. Yu} et al., J. Time Ser. Anal. 35, No. 6, 572--591 (2014; Zbl 1311.62176) Full Text: DOI
Sévi, Benoît Forecasting the volatility of crude oil futures using intraday data. (English) Zbl 1305.91196 Eur. J. Oper. Res. 235, No. 3, 643-659 (2014). MSC: 91B84 62P05 62M10 91G70 PDF BibTeX XML Cite \textit{B. Sévi}, Eur. J. Oper. Res. 235, No. 3, 643--659 (2014; Zbl 1305.91196) Full Text: DOI
Bollerslev, Tim; Todorov, Viktor Time-varying jump tails. (English) Zbl 1312.91093 J. Econom. 183, No. 2, 168-180 (2014). MSC: 91G70 62G32 62P05 60J75 91G20 PDF BibTeX XML Cite \textit{T. Bollerslev} and \textit{V. Todorov}, J. Econom. 183, No. 2, 168--180 (2014; Zbl 1312.91093) Full Text: DOI
Yu, Jun Econometric analysis of continuous time models: a survey of Peter Phillips’s work and some new results. (English) Zbl 1314.62281 Econom. Theory 30, No. 4, 737-774 (2014). MSC: 62P20 60H10 60H30 62M05 62-02 91-02 PDF BibTeX XML Cite \textit{J. Yu}, Econom. Theory 30, No. 4, 737--774 (2014; Zbl 1314.62281) Full Text: DOI
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst A robust neighborhood truncation approach to estimation of integrated quarticity. (English) Zbl 1290.91186 Econom. Theory 30, No. 1, 3-59 (2014). MSC: 91G70 PDF BibTeX XML Cite \textit{T. G. Andersen} et al., Econom. Theory 30, No. 1, 3--59 (2014; Zbl 1290.91186) Full Text: DOI
Zu, Yang; Boswijk, H. Peter Estimating spot volatility with high-frequency financial data. (English) Zbl 1311.91198 J. Econom. 181, No. 2, 117-135 (2014). MSC: 91G70 62P05 PDF BibTeX XML Cite \textit{Y. Zu} and \textit{H. P. Boswijk}, J. Econom. 181, No. 2, 117--135 (2014; Zbl 1311.91198) Full Text: DOI
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, Francesco On loss functions and ranking forecasting performances of multivariate volatility models. (English) Zbl 1443.62359 J. Econom. 173, No. 1, 1-10 (2013). MSC: 62P05 62P20 PDF BibTeX XML Cite \textit{S. Laurent} et al., J. Econom. 173, No. 1, 1--10 (2013; Zbl 1443.62359) Full Text: DOI Link
McCloskey, Adam; Perron, Pierre Memory parameter estimation in the presence of level shifts and deterministic trends. (English) Zbl 1290.62084 Econom. Theory 29, No. 6, 1196-1237 (2013). MSC: 62M10 62F12 62F35 62P05 91B84 PDF BibTeX XML Cite \textit{A. McCloskey} and \textit{P. Perron}, Econom. Theory 29, No. 6, 1196--1237 (2013; Zbl 1290.62084) Full Text: DOI
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank A Markov-switching multifractal inter-trade duration model, with application to US equities. (English) Zbl 1288.91140 J. Econom. 177, No. 2, 320-342 (2013). MSC: 91B60 62P20 60J28 91G70 PDF BibTeX XML Cite \textit{F. Chen} et al., J. Econom. 177, No. 2, 320--342 (2013; Zbl 1288.91140) Full Text: DOI
Wang, Cindy Shin-Huei; Bauwens, Luc; Hsiao, Cheng Forecasting a long memory process subject to structural breaks. (English) Zbl 1288.62142 J. Econom. 177, No. 2, 171-184 (2013). MSC: 62M20 62M10 62P05 PDF BibTeX XML Cite \textit{C. S. H. Wang} et al., J. Econom. 177, No. 2, 171--184 (2013; Zbl 1288.62142) Full Text: DOI
Jing, Bing-Yi; Li, Cui-Xia; Liu, Zhi On estimating the integrated co-volatility using noisy high-frequency data with jumps. (English) Zbl 1277.62254 Commun. Stat., Theory Methods 42, No. 21, 3889-3901 (2013). MSC: 62P05 62F12 60F05 65C60 PDF BibTeX XML Cite \textit{B.-Y. Jing} et al., Commun. Stat., Theory Methods 42, No. 21, 3889--3901 (2013; Zbl 1277.62254) Full Text: DOI
Brockwell, Peter; Lindner, Alexander Integration of CARMA processes and spot volatility modelling. (English) Zbl 1274.62579 J. Time Ser. Anal. 34, No. 2, 156-167 (2013). MSC: 62M10 91B82 60H10 62M09 PDF BibTeX XML Cite \textit{P. Brockwell} and \textit{A. Lindner}, J. Time Ser. Anal. 34, No. 2, 156--167 (2013; Zbl 1274.62579) Full Text: DOI
Bi, Tao; Zhang, Bo; Wu, Huishan Measuring downside risk using high-frequency data: realized downside risk measure. (English) Zbl 1347.62223 Commun. Stat., Simulation Comput. 42, No. 4, 741-754 (2013). MSC: 62P05 91G70 62G32 62M10 65C20 PDF BibTeX XML Cite \textit{T. Bi} et al., Commun. Stat., Simulation Comput. 42, No. 4, 741--754 (2013; Zbl 1347.62223) Full Text: DOI
So, Mike K. P.; Xu, Rui Forecasting intraday volatility and value-at-risk with high-frequency data. (English) Zbl 1282.91389 Asia-Pac. Financ. Mark. 20, No. 1, 83-111 (2013). MSC: 91G70 91B84 91B82 62P05 91B30 PDF BibTeX XML Cite \textit{M. K. P. So} and \textit{R. Xu}, Asia-Pac. Financ. Mark. 20, No. 1, 83--111 (2013; Zbl 1282.91389) Full Text: DOI
Koo, Bonsoo; Linton, Oliver Estimation of semiparametric locally stationary diffusion models. (English) Zbl 1443.62224 J. Econom. 170, No. 1, 210-233 (2012). MSC: 62M05 60J60 62G05 62M10 62P05 62G30 PDF BibTeX XML Cite \textit{B. Koo} and \textit{O. Linton}, J. Econom. 170, No. 1, 210--233 (2012; Zbl 1443.62224) Full Text: DOI Link
Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo International market links and volatility transmission. (English) Zbl 1443.62342 J. Econom. 170, No. 1, 117-141 (2012). MSC: 62P05 62M10 62G10 62G07 62G20 PDF BibTeX XML Cite \textit{V. Corradi} et al., J. Econom. 170, No. 1, 117--141 (2012; Zbl 1443.62342) Full Text: DOI Link
Yu, Jun Bias in the estimation of the mean reversion parameter in continuous time models. (English) Zbl 1443.62225 J. Econom. 169, No. 1, 114-122 (2012). MSC: 62M05 62F12 62M10 62P05 62P20 PDF BibTeX XML Cite \textit{J. Yu}, J. Econom. 169, No. 1, 114--122 (2012; Zbl 1443.62225) Full Text: DOI Link
Yu, Jun A semiparametric stochastic volatility model. (English) Zbl 1441.62909 J. Econom. 167, No. 2, 473-482 (2012). MSC: 62P20 62M10 62P05 PDF BibTeX XML Cite \textit{J. Yu}, J. Econom. 167, No. 2, 473--482 (2012; Zbl 1441.62909) Full Text: DOI
Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten Ørregaard Local polynomial Whittle estimation of perturbed fractional processes. (English) Zbl 1441.62693 J. Econom. 167, No. 2, 426-447 (2012). MSC: 62P20 62M10 62M15 60G22 PDF BibTeX XML Cite \textit{P. Frederiksen} et al., J. Econom. 167, No. 2, 426--447 (2012; Zbl 1441.62693) Full Text: DOI
Zhang, Lan Implied and realized volatility: empirical model selection. (English) Zbl 1298.91197 Ann. Finance 8, No. 2-3, 259-275 (2012). MSC: 91G70 60H30 62P05 62G10 62L10 PDF BibTeX XML Cite \textit{L. Zhang}, Ann. Finance 8, No. 2--3, 259--275 (2012; Zbl 1298.91197) Full Text: DOI
Mykland, Per A. A Gaussian calculus for inference from high frequency data. (English) Zbl 1298.91196 Ann. Finance 8, No. 2-3, 235-258 (2012). MSC: 91G70 60H30 62J10 62M09 PDF BibTeX XML Cite \textit{P. A. Mykland}, Ann. Finance 8, No. 2--3, 235--258 (2012; Zbl 1298.91196) Full Text: DOI
Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil Integer-valued Lévy processes and low latency financial econometrics. (English) Zbl 1278.91156 Quant. Finance 12, No. 4, 587-605 (2012). MSC: 91G20 91B60 91G70 91G80 60G51 PDF BibTeX XML Cite \textit{O. E. Barndorff-Nielsen} et al., Quant. Finance 12, No. 4, 587--605 (2012; Zbl 1278.91156) Full Text: DOI
Todorov, Viktor; Tauchen, George Inverse realized Laplace transforms for nonparametric volatility density estimation in jump-diffusions. (English) Zbl 1261.62032 J. Am. Stat. Assoc. 107, No. 498, 622-635 (2012). MSC: 62G07 62P05 60G48 65C05 PDF BibTeX XML Cite \textit{V. Todorov} and \textit{G. Tauchen}, J. Am. Stat. Assoc. 107, No. 498, 622--635 (2012; Zbl 1261.62032) Full Text: DOI
Raggi, Davide; Bordignon, Silvano Long memory and nonlinearities in realized volatility: a Markov switching approach. (English) Zbl 1255.62321 Comput. Stat. Data Anal. 56, No. 11, 3730-3742 (2012). MSC: 62P05 65C40 PDF BibTeX XML Cite \textit{D. Raggi} and \textit{S. Bordignon}, Comput. Stat. Data Anal. 56, No. 11, 3730--3742 (2012; Zbl 1255.62321) Full Text: DOI
Raknerud, Arvid; Skare, Øivind Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes. (English) Zbl 1255.62322 Comput. Stat. Data Anal. 56, No. 11, 3260-3275 (2012). MSC: 62P05 62M05 60J70 62-04 PDF BibTeX XML Cite \textit{A. Raknerud} and \textit{Ø. Skare}, Comput. Stat. Data Anal. 56, No. 11, 3260--3275 (2012; Zbl 1255.62322) Full Text: DOI
Golosnoy, Vasyl; Herwartz, Helmut Dynamic modeling of high-dimensional correlation matrices in finance. (English) Zbl 1262.91053 Int. J. Theor. Appl. Finance 15, No. 5, Article ID 1250035, 22 p. (2012). MSC: 91B06 91G10 PDF BibTeX XML Cite \textit{V. Golosnoy} and \textit{H. Herwartz}, Int. J. Theor. Appl. Finance 15, No. 5, Article ID 1250035, 22 p. (2012; Zbl 1262.91053) Full Text: DOI
Curci, Giuseppe; Corsi, Fulvio Discrete sine transform for multi-scale realized volatility measures. (English) Zbl 1241.91130 Quant. Finance 12, No. 2, 263-279 (2012). MSC: 91G60 PDF BibTeX XML Cite \textit{G. Curci} and \textit{F. Corsi}, Quant. Finance 12, No. 2, 263--279 (2012; Zbl 1241.91130) Full Text: DOI
ter Horst, Enrique; Rodriguez, Abel; Gzyl, Henryk; Molina, German Stochastic volatility models including open, close, high and low prices. (English) Zbl 1241.91145 Quant. Finance 12, No. 2, 199-212 (2012). MSC: 91G70 91G60 62M10 65C05 PDF BibTeX XML Cite \textit{E. ter Horst} et al., Quant. Finance 12, No. 2, 199--212 (2012; Zbl 1241.91145) Full Text: DOI