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My bibliography Save this paperPower variation & stochastic volatility: a review and some new results
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"Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics,"
Economics Papers
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Citations
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Cited by:
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003.
"Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility,"
PIER Working Paper Archive
03-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2003.
- Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
"Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,"
Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
- Neil Shephard & Ole Barndorff-Nielsen, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.
- Cotter, John, 2004.
"Absolute Return Volatility,"
MPRA Paper
3530, University Library of Munich, Germany, revised 2005.
- John Cotter, 2011. "Absolute Return Volatility," Papers 1103.5976, arXiv.org.
- John Cotter, 2011. "Absolute Return Volatility," Working Papers 200415, Geary Institute, University College Dublin.
- Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3529, University Library of Munich, Germany, revised 2005.
- Andrey Rafalson, 2012. "Bootstrap inference about integrated volatility (in Russian)," Quantile, Quantile, issue 10, pages 91-108, December.
- Nikolai Dokuchaev, 2015. "On statistical indistinguishability of complete and incomplete discrete time market models," Papers 1505.00638, arXiv.org.
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Keywords
Bipower; Mixed Gaussian limit; Power variation; Quadratic variation; Realised variance; Realised volatility; Stochastic volatility.;
All these keywords.NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2004-01-25 (Econometrics)
- NEP-ETS-2004-01-18 (Econometric Time Series)
- NEP-FIN-2004-01-18 (Finance)
- NEP-RMG-2004-01-18 (Risk Management)
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