ARC: Connections: ELMAR: TOC areas: methods: journals

Journal of Econometrics  Relevant ARCategory: Marketing Journals

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Realized Volatility
–Nour Meddahi, Per Mykland, Neil Shephard [Publisher] [Google Scholar]

Estimating quadratic variation when quoted prices change by a constant increment
–Jeremy Large [Publisher] [Google Scholar]

Econometric analysis of jump-driven stochastic volatility models
–Viktor Todorov [Publisher] [Google Scholar]

Estimation of objective and risk-neutral distributions based on moments of integrated volatility?
–René Garcia, Marc-André Lewis, Sergio Pastorello, Éric Renault [Publisher] [Google Scholar]

Estimating covariation: Epps effect, microstructure noise?
–Lan Zhang [Publisher] [Google Scholar]

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
–Thomas Busch, Bent Jesper Christensen, Morten Ørregaard Nielsen [Publisher] [Google Scholar]

Covariance measurement in the presence of non-synchronous trading and market microstructure noise
–Jim E. Griffin, Roel C.A. Oomen [Publisher] [Google Scholar]

Do high-frequency measures of volatility improve forecasts of return distributions?
–John M. Maheu, Thomas H. McCurdy [Publisher] [Google Scholar]

Threshold estimation of Markov models with jumps and interest rate modeling?
–Cecilia Mancini, Roberto Renò [Publisher] [Google Scholar]

Forecasting multivariate realized stock market volatility
–Gregory H. Bauer, Keith Vorkink [Publisher] [Google Scholar]

Realized jumps on financial markets and predicting credit spreads?
–George Tauchen, Hao Zhou [Publisher] [Google Scholar]

High-frequency returns, jumps and the mixture of normals hypothesis
–Jeff Fleming, Bradley S. Paye [Publisher] [Google Scholar]

Box–Cox transforms for realized volatility?
–Sílvia Gonçalves, Nour Meddahi [Publisher] [Google Scholar]

Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations?
–Federico M. Bandi, Jeffrey R. Russell [Publisher] [Google Scholar]

Ultra high frequency volatility estimation with dependent microstructure noise?
–Yacine Aït-Sahalia, Per A. Mykland, Lan Zhang [Publisher] [Google Scholar]

A reduced form framework for modeling volatility of speculative prices based on realized variation measures?
–Torben G. Andersen, Tim Bollerslev, Xin Huang [Publisher] [Google Scholar]

Edgeworth expansions for realized volatility and related estimators?
–Lan Zhang, Per A. Mykland, Yacine Aït-Sahalia [Publisher] [Google Scholar]

Subsampling realised kernels?
–Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard [Publisher] [Google Scholar]

Realized volatility forecasting and market microstructure noise?
–Torben G. Andersen, Tim Bollerslev, Nour Meddahi [Publisher] [Google Scholar]

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities?
–Tim Bollerslev, Michael Gibson, Hao Zhou [Publisher] [Google Scholar]

Volatility forecast comparison using imperfect volatility proxies?
–Andrew J. Patton [Publisher] [Google Scholar]

Volatility forecasting and microstructure noise?
–Eric Ghysels, Arthur Sinko [Publisher] [Google Scholar]

Causality effects in return volatility measures with random times
–Eric Renault, Bas J.M. Werker [Publisher] [Google Scholar]

Variance dynamics: Joint evidence from options and high-frequency returns
–Liuren Wu [Publisher] [Google Scholar]

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