Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
暂无分享,去创建一个
[1] R. Fisher. 014: On the "Probable Error" of a Coefficient of Correlation Deduced from a Small Sample. , 1921 .
[2] F. David,et al. Tables of the Ordinates and Probability Integral of the Distribution of the Correlation Coefficient in Small Samples , 1938 .
[3] M. Evans Munroe,et al. Introduction to Measure and Integration , 1953 .
[4] J. Doob. Stochastic processes , 1953 .
[5] B. Gnedenko,et al. Limit Distributions for Sums of Independent Random Variables , 1955 .
[6] T. W. Anderson. An Introduction to Multivariate Statistical Analysis , 1959 .
[7] J. Lintner. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .
[8] P. Billingsley,et al. Probability and Measure , 1980 .
[9] G. Chamberlain. ASSET PRICING IN MULTIPERIOD SECURITIES MARKETS , 1988 .
[10] S. Ross,et al. A theory of the term structure of interest rates'', Econometrica 53, 385-407 , 1985 .
[11] T. W. Anderson. An Introduction to Multivariate Statistical Analysis, 2nd Edition. , 1985 .
[12] F. Diebold,et al. The dynamics of exchange rate volatility: a multivariate latent factor ARCH model , 1986 .
[13] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[14] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[15] A. Shiryaev,et al. Limit Theorems for Stochastic Processes , 1987 .
[16] Ioannis Karatzas,et al. Brownian Motion and Stochastic Calculus , 1987 .
[17] P. McCullagh. Tensor Methods in Statistics , 1987 .
[18] J. Wooldridge,et al. A Capital Asset Pricing Model with Time-Varying Covariances , 1988, Journal of Political Economy.
[19] P. Protter. Stochastic integration and differential equations : a new approach , 1990 .
[20] Kerry Back,et al. Asset pricing for general processes , 1991 .
[21] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .
[22] Dominique Picard,et al. Non-parametric estimation of the diffusion coefficient by wavelets methods , 1992 .
[23] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[24] T. Nijman,et al. Temporal Aggregation of GARCH Processes. , 1993 .
[25] D. Florens-zmirou. On estimating the diffusion coefficient from discrete observations , 1993, Journal of Applied Probability.
[26] Dean P. Foster,et al. Continuous Record Asymptotics for Rolling Sample Variance Estimators , 1994 .
[27] D. Cox,et al. Inference and Asymptotics , 1994 .
[28] B. Hansen. REGRESSION WITH NONSTATIONARY VOLATILITY , 1995 .
[29] N. Shephard. Statistical aspects of ARCH and stochastic volatility , 1996 .
[30] N. Touzi,et al. Calibrarion By Simulation for Small Sample Bias Correction , 1996 .
[31] A. Harvey,et al. 5 Stochastic volatility , 1996 .
[32] M. Pitt,et al. Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion , 1998 .
[33] T. Bollerslev,et al. ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS* , 1998 .
[34] É. Renault,et al. Aggregations and Marginalization of Garch and Stochastic Volatility Models , 1998 .
[35] T. Andersen. THE ECONOMETRICS OF FINANCIAL MARKETS , 1998, Econometric Theory.
[36] F. Comte,et al. Long memory in continuous‐time stochastic volatility models , 1998 .
[37] P. Maher,et al. Handbook of Matrices , 1999, The Mathematical Gazette.
[38] A. Ullah,et al. Nonparametric Econometrics , 1999 .
[39] D. Duffie,et al. Transform Analysis and Asset Pricing for Affine Jump-Diffusions , 1999 .
[40] K. Demeterfi,et al. A Guide to Volatility and Variance Swaps , 1999 .
[41] Market Risk for Volatility and Variance Swaps , 1999 .
[42] F. Diebold,et al. The Distribution of Exchange Rate Volatility , 1999 .
[43] G. Mason,et al. Beyond Merton’s Utopia: Effects of Non-normality and Dependence on the Precision of Variance Estimates Using High-frequency Financial Data , 2000 .
[44] N. Shephard,et al. Econometric analysis of realised volatility and its use in estimating stochastic volatility models , 2000 .
[45] N. Meddahi,et al. Série Scientifique Scientific Series Temporal Aggregation of Volatility Models , 2022 .
[46] R. Gencay,et al. An Introduc-tion to High-Frequency Finance , 2001 .
[47] Francis X. Diebold,et al. Modeling and Forecasting Realized Volatility , 2001 .
[48] N. Shephard,et al. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics , 2001 .
[49] F. Diebold,et al. The Distribution of Realized Exchange Rate Volatility , 2000 .
[50] F. Diebold,et al. The distribution of realized stock return volatility , 2001 .
[51] N. Shephard,et al. Realised power variation and stochastic volatility models , 2003 .
[52] N. Shephard,et al. How accurate is the asymptotic approximation to the distribution of realised variance , 2001 .
[53] T. Bollerslev,et al. Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility , 2001 .
[54] S. Howison,et al. On the pricing and hedging of volatility derivatives , 2004 .
[55] N. Shephard,et al. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics , 2002 .
[56] N. Meddahi,et al. A theoretical comparison between integrated and realized volatility , 2002 .
[57] B. Werker. Discussion of "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics" by Barndorff-Nielsen and Shephard , 2001 .
[58] Eric Ghysels,et al. Rolling-Sample Volatility Estimators , 2002 .
[59] N. Shephard,et al. Econometric analysis of realized volatility and its use in estimating stochastic volatility models , 2002 .
[60] N. Shephard,et al. Estimating quadratic variation using realized variance , 2002 .
[61] N. Shephard,et al. Power Variation and Time Change , 2006 .
[62] T. Bollerslev,et al. Analytical Evaluation of Volatility Forecasts , 2002 .
[63] N. Meddahi,et al. ARMA representation of integrated and realized variances , 2003 .
[64] Laurent E. Calvet,et al. Multifractality in Asset Returns: Theory and Evidence , 2002, Review of Economics and Statistics.
[65] N. Shephard,et al. Power and bipower variation with stochastic volatility and jumps , 2003 .
[66] Neil Shephard,et al. A feasible central limit theory for realised volatility under leverage , 2004 .
[67] Neil Shephard,et al. Power variation and stochastic volatility: a review and some new results , 2004, Journal of Applied Probability.