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On the use of high frequency measures of volatility in MIDAS regressions
Andreou, Elena - 2016
Persistent link: https://www.econbiz.de/10011548192
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A fundamental misunderstanding of risk : the bias associated with the annualized calculation of standard deviation
Burkett, Matthew W.; Scherer, William T. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7
present a new example illustrating the bias when applied to an efficient frontier. …
Persistent link: https://www.econbiz.de/10013179703
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A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Shin, Dong-wan; Hwang, Eunju - In: Economics letters 129 (2015), pp. 95-99
Persistent link: https://www.econbiz.de/10011422016
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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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Errors in implied volatility estimation
Hentschel, Ludger - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 779-810
Persistent link: https://www.econbiz.de/10001859254
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On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
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An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.; Kumar, Dilip - In: Economic modelling 33 (2013), pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
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Modeling and forecasting the additive bias corrected extreme value volatility estimator
Kumar, Dilip; Maheswaran, S. - In: International review of financial analysis 34 (2014), pp. 166-176
Persistent link: https://www.econbiz.de/10010529043
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On the use of high frequency measures of volatility in MIDAS regressions
Andreou, Elena - In: Journal of econometrics 193 (2016) 2, pp. 367-389
Persistent link: https://www.econbiz.de/10011704955
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Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip - In: Journal of quantitative economics 16 (2018) 2, pp. 313-335
Persistent link: https://www.econbiz.de/10012418486