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Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2002

and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic …

Persistent link: https://www.econbiz.de/10012787458

Variation and efficiency of high-frequency betas

Zhang, Congshan; Li, Jia; Todorov, Viktor; Tauchen, … - In: Journal of econometrics 228 (2022) 1, pp. 156-175

Persistent link: https://www.econbiz.de/10013441735

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65

Persistent link: https://www.econbiz.de/10001663892

Jumps and betas : a new framework for disentangling and estimating systematic risks

Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235

Persistent link: https://www.econbiz.de/10008663039

A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189

Persistent link: https://www.econbiz.de/10009242526

Econometric analysis of jump-driven stochastic volatility models

Todorov, Viktor - In: Journal of econometrics 160 (2011) 1, pp. 12-21

Persistent link: https://www.econbiz.de/10009242565

Jump tails, extreme dependencies, and the distribution of stock returns

Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi - In: Journal of econometrics 172 (2013) 2, pp. 307-324

Persistent link: https://www.econbiz.de/10009706199

Volatility puzzles: a simple framework for gauging return-volatility regressions

Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 131 (2006) 1/2, pp. 123-150

Persistent link: https://www.econbiz.de/10003298567

Semiparametric estimation of long-memory volatility dependencies : the role of high-frequency data

Bollerslev, Tim; Wright, Jonathan H. - In: Journal of econometrics 98 (2000) 1, pp. 81-106

Persistent link: https://www.econbiz.de/10001497682

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben G. - 2012

We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness- maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...

Persistent link: https://www.econbiz.de/10013107009