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  • Search: subject:"Realized Kernel"
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Year of publication
Subject
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Volatility 22 Volatilität 19 Zeitreihenanalyse 13 Schätztheorie 12 realized kernel 12 Time series analysis 11 Estimation theory 10 Varianzanalyse 10 ARCH model 9 ARCH-Modell 9 Capital income 9 Kapitaleinkommen 9 Schätzung 9 Theorie 9 Analysis of variance 8 Korrelation 8 Prognoseverfahren 8 Realized Kernel 8 Realized kernel 8 Estimation 7 Portfolio-Management 7 Correlation 6 Forecasting model 6 Realized GARCH 6 blocked realized kernel 6 covariance prediction 6 portfolio optimization 6 regularization 6 spectral decomposition 6 Core 5 Portfolio selection 5 Risikomaß 5 Risk measure 5 Theory 5 Value-at-Risk 5 Forecasting 4 Market microstructure 4 Marktmikrostruktur 4 Noise Trading 4 Noise trading 4
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Online availability
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Free 24 Undetermined 15
Type of publication
All
Book / Working Paper 23 Article 20
Type of publication (narrower categories)
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Article in journal 16 Aufsatz in Zeitschrift 16 Working Paper 13 Arbeitspapier 6 Graue Literatur 6 Non-commercial literature 6 research-article 1
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Language
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English 32 Undetermined 11
Author
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Hautsch, Nikolaus 12 Kyj, Lada M. 10 Malec, Peter 8 Lunde, Asger 4 Sharma, Prateek 4 Sheppard, Kevin 4 Xu, Dinghai 4 Lucas, André 3 Opschoor, Anne 3 Wirjanto, Tony S. 3 Wu, Xinyu 3 Asai, Manabu 2 Carrasco, Marine 2 Kotchoni, Rachidi 2 Kyj, Lada. M. 2 McAleer, Michael 2 Ning, Cathy Q. 2 Oomen, Roel C.A. 2 Paul, Samit 2 Sharma, Swati 2 Xu, Wen 2 Borup, Daniel 1 Brix, Anne Floor 1 Brownlees, Christian 1 Griffin, Jim 1 Hansen, Peter R. 1 Hong, Seok Young 1 Huang, Zhuo 1 Ikeda, Shin S. 1 Jakobsen, Johan S. 1 Linton, Oliver 1 Liu, Hao 1 Liu, Jia 1 Maheu, John M. 1 Ning, Cathy 1 Nualart, Eulalia 1 Olesen, Kasper V. 1 Park, Sujin 1 Shephard, Neil G. 1 Sun, Yucheng 1
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Institution
All
School of Economics and Management, University of Aarhus 3 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 3 Center for Financial Studies 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Department of Economics, Oxford University 1
Published in...
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CREATES Research Papers 3 SFB 649 Discussion Paper 3 SFB 649 Discussion Papers 3 CFS Working Paper 2 CFS Working Paper Series 2 Discussion paper / Tinbergen Institute 2 Economics Bulletin 2 Journal of financial econometrics 2 Journal of financial econometrics : official journal of the Society for Financial Econometrics 2 Tinbergen Institute Discussion Paper 2 Applied economics letters 1 CIRANO Working Papers 1 Department of Economics discussion paper series / University of Oxford 1 Econometric reviews 1 Economic modelling 1 Economics Series Working Papers / Department of Economics, Oxford University 1 Finance research letters 1 International journal of forecasting 1 Journal of Banking & Finance 1 Journal of applied econometrics 1 Journal of banking & finance 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of econometrics 1 Journal of risk 1 Quantitative finance 1 SFB 649 discussion paper 1 Studies in Economics and Finance 1 Studies in economics and finance 1 Waterloo economic series : working paper 1 Working papers / Ryerson University, Department of Economics 1
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Source
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ECONIS (ZBW) 22 RePEc 13 EconStor 7 Other ZBW resources 1
Showing 1 - 10 of 43
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Time-varying variance and skewness in realized volatility measures
Opschoor, Anne; Lucas, André - In: International journal of forecasting 39 (2023) 2, pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
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Time-varying tail behavior for realized kernels
Opschoor, Anne; Lucas, André - 2019
-of-Vol and the tail shape of the realized kernel distribution. The resulting score-driven dynamics imply that the influence of …
Persistent link: https://www.econbiz.de/10012114804
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A study on volatility spurious almost integration effect : a threshold realized GARCH approach
Xu, Dinghai - 2019
Persistent link: https://www.econbiz.de/10012137575
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A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Journal of risk 24 (2022) 6, pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
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Forecasting stock market volatility using implied volatility : evidence from extended realized EGARCH-MIDAS model
Wu, Xinyu; Wang, Xiaona; Wang, Haiyun - In: Applied economics letters 28 (2021) 11, pp. 915-920
Persistent link: https://www.econbiz.de/10012589699
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Bayesian nonparametric estimation of ex post variance
Griffin, Jim; Liu, Jia; Maheu, John M. - In: Journal of financial econometrics 19 (2021) 5, pp. 823-859
Persistent link: https://www.econbiz.de/10012799051
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A realized EGARCH-MIDAS model with higher moments
Wu, Xinyu; Xie, Haibin - In: Finance research letters 38 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012485028
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Forecasting the Volatility of Nikkei 225 Futures
Asai, Manabu; McAleer, Michael - 2017
For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and...
Persistent link: https://www.econbiz.de/10011662515
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Forecasting the volatility of Nikkei 225 futures
Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017
For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and...
Persistent link: https://www.econbiz.de/10011590424
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On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng - In: Econometric reviews 39 (2020) 10, pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
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