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Search: subject:"realised kernel"
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Realised kernel
4
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realised kernel
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realised volatility
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Long run variance estimator
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Shephard, Neil
7
Barndorff-Nielsen, Ole E.
4
Sheppard, Kevin
3
Lunde, Asger
2
Hansen, Peter R.
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Forecasting gains by using extreme value theory with realised GARCH filter
Paul, Samit
;
Sharma, Prateek
- In:
IIMB management review
33
(
2021
)
1
,
pp. 64-70
Persistent link: https://www.econbiz.de/10013205188
Saved in:
2
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
Saved in:
3
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:
4
Modelling and measuring volatility
Shephard, Neil
;
Barndorff-Nielsen, Ole E.
-
Department of Economics, Oxford University
-
2008
Persistent link: https://www.econbiz.de/10010605090
Saved in:
5
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
Saved in:
6
Realising the future: forecasting with high frequency based volatility (HEAVY) models
Shephard, Neil
;
Sheppard, Kevin
-
Finance Research Centre, 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 reversion...
Persistent link: https://www.econbiz.de/10005039607
Saved in:
7
Modelling and measuring volatility
Barndorff-Nielsen, Ole E.
;
Shephard, Neil
-
Finance Research Centre, Oxford University
-
2008
Persistent link: https://www.econbiz.de/10005212059
Saved in:
8
Subsampling realised kernels
Barndorff-Nielsen, Ole E.
;
Hansen, Peter R.
;
Lunde, Asger
; …
-
Finance Research Centre, Oxford University
-
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/10005227064
Saved in:
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