Drimus, Gabriel G. Options on realized variance in log-OU models. (English) Zbl 1372.91105 Appl. Math. Finance 19, No. 5-6, 477-494 (2012). MSC: 91G20 60J60 91B70 PDFBibTeX XMLCite \textit{G. G. Drimus}, Appl. Math. Finance 19, No. 5--6, 477--494 (2012; Zbl 1372.91105) Full Text: DOI
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst Jump-robust volatility estimation using nearest neighbor truncation. (English) Zbl 1443.62327 J. Econom. 169, No. 1, 75-93 (2012). MSC: 62P05 PDFBibTeX XMLCite \textit{T. G. Andersen} et al., J. Econom. 169, No. 1, 75--93 (2012; Zbl 1443.62327) Full Text: DOI Link Link
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman The conditional autoregressive Wishart model for multivariate stock market volatility. (English) Zbl 1441.62705 J. Econom. 167, No. 1, 211-223 (2012). MSC: 62P20 62M10 91B84 62P05 PDFBibTeX XMLCite \textit{V. Golosnoy} et al., J. Econom. 167, No. 1, 211--223 (2012; Zbl 1441.62705) Full Text: DOI Link
Craioveanu, Mihaela; Hillebrand, Eric Level changes in volatility models. (English) Zbl 1298.91191 Ann. Finance 8, No. 2-3, 277-308 (2012). MSC: 91G70 62P05 62M10 91B70 PDFBibTeX XMLCite \textit{M. Craioveanu} and \textit{E. Hillebrand}, Ann. Finance 8, No. 2--3, 277--308 (2012; Zbl 1298.91191) 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 PDFBibTeX XMLCite \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 PDFBibTeX XMLCite \textit{P. A. Mykland}, Ann. Finance 8, No. 2--3, 235--258 (2012; Zbl 1298.91196) 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 PDFBibTeX XMLCite \textit{G. Curci} and \textit{F. Corsi}, Quant. Finance 12, No. 2, 263--279 (2012; Zbl 1241.91130) Full Text: DOI Link
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. Modelling and forecasting noisy realized volatility. (English) Zbl 1241.91135 Comput. Stat. Data Anal. 56, No. 1, 217-230 (2012). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{M. Asai} et al., Comput. Stat. Data Anal. 56, No. 1, 217--230 (2012; Zbl 1241.91135) Full Text: DOI
Kanaya, Shin; Otsu, Taisuke Large deviations of realized volatility. (English) Zbl 1237.91238 Stochastic Processes Appl. 122, No. 2, 546-581 (2012); corrigendum ibid. 123, No. 3, 1176-1177 (2013). MSC: 91G70 60F10 62P05 PDFBibTeX XMLCite \textit{S. Kanaya} and \textit{T. Otsu}, Stochastic Processes Appl. 122, No. 2, 546--581 (2012; Zbl 1237.91238) Full Text: DOI