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Predicting instability
Razzak, Weshah A. - In: Applied economics 45 (2013) 22/24, pp. 3305-3315
Persistent link: https://www.econbiz.de/10010345431
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Finite sample results of range-based integrated volatility estimation
Rossi, Eduardo; Spazzini, Filippo - 2009
Persistent link: https://www.econbiz.de/10003899120
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Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria; Yoshida, Nakahiro - In: Economic notes : economic review of Banca Monte dei … 39 (2010) 1/2, pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Shin, Dong-wan; Hwang, Eunju - In: Economics letters 129 (2015), pp. 95-99
Persistent link: https://www.econbiz.de/10011422016
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Closed form pricing formulas for discretely sampled generalized variance swaps
Zheng, Wendong; Kwok, Yue-Kuen - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 855-881
Persistent link: https://www.econbiz.de/10011308159
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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2004
are based on importance sampling techniques. It is shown that such Monte Carlo techniques can be employed successfully for …
Persistent link: https://www.econbiz.de/10011342558
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Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
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VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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Sample quantile analysis for long-memory stochastic volatility models
Ho, Hwai-chung - In: Journal of econometrics 189 (2015) 2, pp. 360-370
Persistent link: https://www.econbiz.de/10011504558