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Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
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Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim (ed.); Engle, Robert F. (honouree);  … - 2010 - 1. publ.
Persistent link: https://www.econbiz.de/10003861657
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Microstructure noise, realized variance, and optimal sampling
Bandi, F. M.; Russell, Jeffrey R. - In: The review of economic studies 75 (2008) 2, pp. 339-369
Persistent link: https://www.econbiz.de/10003678717
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Volatility
Bandi, Federico M.; Russell, Jeffrey R. - In: Financial engineering, (pp. 183-222). 2008
Persistent link: https://www.econbiz.de/10003567122
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Realized volatility forecasting in the presence of time-varying noise
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
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Using high-frequency data in dynamic portfolio choice
Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua - In: Econometric reviews 27 (2008) 1/3, pp. 163-198
Persistent link: https://www.econbiz.de/10003761222
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Separating microstructure noise from volatility
Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of financial economics 79 (2006) 3, pp. 655-692
Persistent link: https://www.econbiz.de/10003289304
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Kurtosis of GARCH and stochastic volatility models with non-normal innovations
Bai, Xuezheng; Russell, Jeffrey R.; Tiao, George C. - In: Journal of econometrics 114 (2003) 2, pp. 349-360
Persistent link: https://www.econbiz.de/10001750817