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Realized kernel
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#	Item
1	Ann Inst Stat Math:673–703 DOIs10463z Optimal restricted quadratic estimator of integrated volatility Liang-Ching Lin · Meihui Guo Add to Reading List Source URL: www.ism.ac.jp Language: English - Date: 2016-06-28 03:34:42 Statistical theory Estimation theory Mathematical finance Statistical inference Signal processing Stochastic volatility Volatility Efficiency Bias of an estimator Maximum likelihood estimation Estimator Realized kernel
2	ASYMMETRIES, BREAKS, AND LONG-RANGE DEPENDENCE: AN ESTIMATION FRAMEWORK FOR TIME SERIES OF DAILY REALIZED VOLATILITY ERIC HILLEBRAND AND MARCELO C. MEDEIROS A BSTRACT. We study the simultaneous occurrence of long memory Add to Reading List Source URL: creates.au.dk Language: English - Date: 2011-09-21 09:16:13 Statistics Autoregressive conditional heteroskedasticity Volatility Stochastic volatility Realized kernel Realized variance Mathematical finance Financial economics Finance
3	Pricing options by simulation using realized volatility Add to Reading List Source URL: www.mssanz.org.au Language: English - Date: 2013-01-16 21:49:36 Economics Volatility Stochastic volatility Autoregressive conditional heteroskedasticity Black–Scholes Realized variance Realized kernel Implied volatility VIX Mathematical finance Financial economics Finance
4	Measurement of Volatility of Diffusion Processes with Noisy High Frequency Data Add to Reading List Source URL: www.mssanz.org.au Language: English - Date: 2013-01-15 18:38:20 Mathematical finance Mathematical sciences Volatility Estimator Mean squared error Realized kernel Stochastic volatility Statistics Estimation theory Statistical inference
5	A Markov Chain Estimator of Multivariate Volatility from High Frequency Data Peter Reinhard Hansen, Guillaume Horel, Asger Lunde and Ilya Archakov CREATES Research Paper Add to Reading List Source URL: pure.au.dk Language: English - Date: 2015-04-28 07:51:00 Statistical inference M-estimators Signal processing Markov chain Estimator Maximum likelihood Realized kernel Robust statistics Peter Reinhard Hansen Statistics Estimation theory Statistical theory
6	Working Paper/Document de travail[removed]Volatility and Liquidity Costs by Selma Chaker Add to Reading List Source URL: www.bankofcanada.ca Language: English - Date: 2013-08-20 09:16:29 Mathematical sciences Volatility Realized kernel Realized variance Instrumental variable Stochastic volatility Bid–offer spread Endogeneity Estimation theory Mathematical finance Economics Statistics
7	The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk Add to Reading List Source URL: federalreserve.gov Language: English - Date: 2010-09-07 12:27:28 Finance Investment Volatility Stochastic volatility Ole Barndorff-Nielsen Black–Scholes Realized variance Realized kernel Mathematical finance Financial economics Options
8	Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets Add to Reading List Source URL: federalreserve.gov Language: English - Date: 2009-10-20 14:40:32 Mathematical sciences Estimation theory Statistical theory Realized variance Realized kernel Options Volatility Estimator Normal distribution Mathematical finance Statistics Statistical inference
9	Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets Add to Reading List Source URL: www.federalreserve.gov Language: English - Date: 2007-10-31 15:44:50 Mathematical sciences Statistical theory Estimation theory Realized kernel Realized variance Volatility Estimator Stochastic volatility Consistent estimator Mathematical finance Statistics Statistical inference
10	Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets Add to Reading List Source URL: www.federalreserve.gov Language: English - Date: 2009-10-20 14:40:32 Mathematical sciences Estimation theory Statistical theory Realized variance Realized kernel Options Volatility Estimator Normal distribution Mathematical finance Statistics Statistical inference