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Realized variance
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1	More accurate volatility estimation and forecasts using price durations∗ Ingmar Nolte† Stephen J. Taylor‡ Add to Reading List Source URL: www.cb.cityu.edu.hk Language: English - Date: 2016-08-09 02:41:45 Estimator Statistics Mathematical finance Statistical theory Statistical inference Robust statistics Realized variance Efficiency Estimation theory L-estimator Variance Volatility
2	Volatility modelling: decoupling the short- and long-term behavior of stochastic volatility Mikkel Bennedsen∗, Asger Lunde†, Mikko S. Pakkanen‡ January 10, 2016 Abstract Add to Reading List Source URL: www.cb.cityu.edu.hk Language: English - Date: 2016-07-07 23:59:23 Mathematical finance Statistics Applied mathematics Probability Volatility Stochastic volatility Implied volatility Realized variance Fractional Brownian motion Normal distribution
3	How crashes develop: intradaily volatility and crash evolution David S. Bates University of Iowa and the National Bureau of Economic Research May 28, 2015 Add to Reading List Source URL: www.istfin.eco.usi.ch Language: English - Date: 2015-05-28 08:34:28 Mathematical finance Futures contract Volatility E-mini Realized variance Day trading Commodity tick VIX Variance swap
4	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
5	Информация о дисциплинах, реализуемых в Московской школе экономики МГУ на английском языке Наименование дисциплины, се Add to Reading List Source URL: www.mse-msu.ru Language: English - Date: 2011-11-14 10:22:26 Volatility Realized variance Autoregressive conditional heteroskedasticity Ole Barndorff-Nielsen Mathematical sciences Economics Mathematical finance Statistics Technical analysis
6	Rough Volatility Jim Gatheral Baruch College (Dated: February 19, 2015) Starting from the observation that increments of the log-realized-volatility possess a remarkably simple scaling property, we show that log-volatili Add to Reading List Source URL: www.columbia.edu Language: English - Date: 2015-02-09 00:05:09 Statistics Volatility Stochastic volatility Hurst exponent Variance swap Volatility smile Implied volatility Mathematical finance Finance Financial economics
7	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
8	Global contagion of volatilities and volatility risk premiums Add to Reading List Source URL: www.bis.org Language: English - Date: 2010-06-03 01:57:00 Investment Volatility Implied volatility Stochastic volatility Black–Scholes VIX Heston model Realized variance Futures contract Mathematical finance Financial economics Finance
9	Working Paper/Document de travail[removed]The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation Add to Reading List Source URL: www.bankofcanada.ca Language: English - Date: 2012-10-03 11:18:20 Economics Autoregressive conditional heteroskedasticity Volatility Realized variance Valuation of options Option Variance swap Stochastic volatility Mathematical finance Financial economics Finance
10	20th International Congress on Modelling and Simulation, Adelaide, Australia, 1–6 December 2013 www.mssanz.org.au/modsim2013 Intraday Volatility Forecast in Australian Equity Market Abhay K Singh, David E Allen and Rob Add to Reading List Source URL: www.mssanz.org.au Language: English - Date: 2013-11-19 22:07:04 Time series analysis Finance Econometrics Technical analysis Realized variance Autoregressive conditional heteroskedasticity Statistical forecasting Volatility High-frequency trading Mathematical finance Statistics Economics

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