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High frequency vs. daily resolution : the economic value of forecasting volatility models

Lilla, Francesca - 2016

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...

Persistent link: https://www.econbiz.de/10011730304

High frequency vs. daily resolution : the economic value of forecasting volatility models 2nd ed

Lilla, Francesca - 2017

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...

Persistent link: https://www.econbiz.de/10011674479

Volatility is rough

Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Options - 45 years since the publication of the …, (pp. 127-172). 2023

Persistent link: https://www.econbiz.de/10014366596

Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter

Woerner, Jeannette H. C. - 2003

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Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency

Kalnina, Ilze; Xiu, Dacheng - 2015

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Improve volatility forecasting with realized semivariance-evidences from intra-day large data sets in Chinese

Yin, Lianqian; Liu, Bo; Du, Zhen - In: International journal of economics and finance 6 (2014) 12, pp. 64-70

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Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method

Li, Jia - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 4, pp. 1673-1693

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Augmented half-life estimation based on high-frequency data

Huang, Mao-Lung; Liao, Shu-Yi; Lin, Kuo-Chin - In: Journal of forecasting 34 (2015) 7, pp. 523-532

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Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

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Two-scale realized kernels : a univariate case

Ikeda, Shin S. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 126-165

Persistent link: https://www.econbiz.de/10010519659