Subsampling realised kernels-Reference-Cited by-同舟云学术

Subsampling realised kernels

Published:2011-01 Issue:1 Volume:160 Page:204-219
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Barndorff-Nielsen Ole E.,Hansen Peter Reinhard,Lunde Asger,Shephard Neil

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference29 articles.

1. Aït-Sahalia, Y., Mykland, P.A., Zhang, L., 2010. Ultra high frequency volatility estimation with dependent microstructure noise, Journal of Econometrics, forthcoming (doi:10.1016/j.jeconom.2010.03.028).

2. The Statistical Analysis of Time Series;Anderson,1971

3. Great realizations;Andersen;Risk,2000

4. The distribution of exchange rate volatility;Andersen;Journal of the American Statistical Association,2001

5. Microstructure noise, realized variance, and optimal sampling;Bandi;Review of Economic Studies,2008

Cited by 65 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Limiting Spectral Distribution of High-dimensional Hayashi-Yoshida Estimator of Integrated Covariance Matrix;SSRN Electronic Journal;2024

2. Forecasting VIX: the illusion of forecast evaluation criteria;SSRN Electronic Journal;2024

3. Value‐at‐Risk under Measurement Error;Oxford Bulletin of Economics and Statistics;2023-12-11

4. Forecasting VIX: the illusion of forecast evaluation criteria;Economics and Business Letters;2023-10-09

5. Market momentum amplifies market volatility risk: Evidence from China’s equity market;Journal of International Financial Markets, Institutions and Money;2023-10