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Search: subject:"Realised Kernel"
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ARCH models
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Realised kernel
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Bipower variation
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Bootstrap
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Long run variance estimator
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Market frictions
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Multiplicative error model
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Multistep ahead prediction
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Realised Kernel
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Realised Volatility
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Subsampling
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bootstrap
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missing data
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multiplicative error model
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multistep ahead prediction
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non-nested likelihood ratio test
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realised kernel
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realised volatility
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English
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Shephard, Neil
4
Barndorff-Nielsen, Ole E.
2
Sheppard, Kevin
2
Hansen, Peter Reinhard
1
Lunde, Asger
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Department of Economics, Oxford University
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Economics Group, Nuffield College, University of Oxford
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Economics Papers / Economics Group, Nuffield College, University of Oxford
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Realising the future: forecasting with high frequency based volatility (HEAVY) models
Shephard, Neil
;
Sheppard, Kevin
-
Department of Economics, Oxford University
-
2009
This paper studies in some detail a class of high frequency based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data. Our analysis identifies that the models have momentum and mean...
Persistent link: https://www.econbiz.de/10005007822
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2
Realising the future: forecasting with high frequency based volatility (HEAVY) models
Shephard, Neil
;
Sheppard, Kevin
-
Economics Group, Nuffield College, University of Oxford
-
2009
This paper studies in some detail a class of high frequency based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data. Our analysis identifies that the models have momentum and mean reversion...
Persistent link: https://www.econbiz.de/10008469674
Saved in:
3
Modelling and measuring volatility
Shephard, Neil
;
Barndorff-Nielsen, Ole E.
-
Department of Economics, Oxford University
-
2008
Persistent link: https://www.econbiz.de/10010605090
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4
Subsampling realised kernels
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
Economics Group, Nuffield College, University of Oxford
-
2006
In a recent paper we have introduced the class of
realised
kernel
estimators of the increments of quadratic variation …
Persistent link: https://www.econbiz.de/10005687532
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