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Realized volatility forecasting in the presence of time-varying noise

Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345

Persistent link: https://www.econbiz.de/10009785979

Realized volatility forecasting and option pricing

Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-46

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Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of econometrics 160 (2011) 1, pp. 145-159

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Separating microstructure noise from volatility

Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of financial economics 79 (2006) 3, pp. 655-692

Persistent link: https://www.econbiz.de/10003289304

Using high-frequency data in dynamic portfolio choice

Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua - In: Econometric reviews 27 (2008) 1/3, pp. 163-198

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Volatility

Bandi, Federico M.; Russell, Jeffrey R. - In: Financial engineering, (pp. 183-222). 2008

Persistent link: https://www.econbiz.de/10003567122

High frequency volatility of oil futures in China : components, modeling, and prediction

Hong, Yi; Xu, Xiaofan; Chen, Yang - In: Journal of forecasting 43 (2024) 8, pp. 3104-3127

Persistent link: https://www.econbiz.de/10015110604

Kurtosis of GARCH and stochastic volatility models with non-normal innovations

Bai, Xuezheng; Russell, Jeffrey R.; Tiao, George C. - In: Journal of econometrics 114 (2003) 2, pp. 349-360

Persistent link: https://www.econbiz.de/10001750817

Microstructure noise, realized variance, and optimal sampling

Bandi, F. M.; Russell, Jeffrey R. - In: The review of economic studies 75 (2008) 2, pp. 339-369

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Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Volatility and Time Series Econometrics: Essays in Honor of Robert F. .Engle Edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson OXFORD UNIVERSITY PRESS ...

Persistent link: https://www.econbiz.de/10003861657