Author:
Aït-Sahalia Yacine,Mancini Loriano
Subject
Applied Mathematics,Economics and Econometrics
Reference65 articles.
1. Aït-Sahalia, Y., Mancini, L., 2007. Out of sample forecasts of quadratic variation: Appendix. Tech. Rep. Princeton University. http://www.princeton.edu/~yacine/research.htm
2. How often to sample a continuous-time process in the presence of market microstructure noise;Aït-Sahalia;Review of Financial Studies,2005
3. Aït-Sahalia, Y., Mykland, P.A., Zhang, L., 2006. Ultra high frequency volatility estimation with dependent microstructure noise. Tech. Rep. Princeton University
4. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998
5. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001
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