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High-dimensional multivariate realized volatility estimation

Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136

Persistent link: https://www.econbiz.de/10012303903

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

Volatility forecasting when the noise variance Is time-varying

Chaker, Selma; Meddahi, Nour - 2013

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...

Persistent link: https://www.econbiz.de/10010225492

Volatility regressions with fat tails

Kim, Jihyun; Meddahi, Nour - In: Journal of econometrics 218 (2020) 2, pp. 690-713

Persistent link: https://www.econbiz.de/10012483177

Volatility regressions with fat tails

Kim, Jihyun; Meddahi, Nour - 2020

Persistent link: https://www.econbiz.de/10012216036

Generalized autoregressive condtional heteroscedasticity

Bollerslev, Tim - 1985

Persistent link: https://www.econbiz.de/10001933645

Generalized autoregressive conditional heteroskedasticity

Bollerslev, Tim - In: Journal of econometrics 3 (1986), pp. 307-327

Persistent link: https://www.econbiz.de/10001036197

Duration-based volatility estimation

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009

Persistent link: https://www.econbiz.de/10003854415

Realized volatility and multipower variation

Andersen, Torben; Todorov, Viktor - 2009

Persistent link: https://www.econbiz.de/10003892558

Jump-robust volatility estimation using nearest neighbor truncation

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009

"LIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/html4/loose.dtd"Jump-Robust Volatility Estimation using Nearest Neighbor Truncation var djConfig = { parseOnLoad: true, isDebug: false };NATIONAL BUREAU OF ECONOMIC RESEARCH HOME PAGE Jump-Robust Volatility Estimation using...

Persistent link: https://www.econbiz.de/10003898519