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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - In: Journal of econometrics 150 (2009) 2, pp. 119-138
Persistent link: https://www.econbiz.de/10003858447
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Volatility forecasting and microstructure noise
Ghysels, Eric; Sinko, Arthur - In: Journal of econometrics 160 (2011) 1, pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
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Realized volatility forecasting and market microstructure noise
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
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Box-Cox transforms for realized volatility
Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 129-144
Persistent link: https://www.econbiz.de/10009242530
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Do high-frequency measures of volatility improve forecasts of return distributions?
Maheu, John M.; McCurdy, Thomas H. - In: Journal of econometrics 160 (2011) 1, pp. 69-76
Persistent link: https://www.econbiz.de/10009242544
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Covariance measurement in the presence of non-synchronous trading and market microstructure noise
Griffin, Jim E.; Oomen, Roel C. A. - In: Journal of econometrics 160 (2011) 1, pp. 58-68
Persistent link: https://www.econbiz.de/10009242550
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Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René; Lewis, Marc-André; Pastorello, Sergio; … - In: Journal of econometrics 160 (2011) 1, pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
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Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus; Winkelmann, Lars - In: Journal of econometrics 184 (2015) 2, pp. 361-378
Persistent link: https://www.econbiz.de/10011339314
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Robust score and portmanteau tests of volatility spillover
Aguilar, Mike; Hill, Jonathan B. - In: Journal of econometrics 184 (2015) 1, pp. 37-61
Persistent link: https://www.econbiz.de/10011326820
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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