Realized volatility with stochastic sampling-Reference-Cited by-同舟云学术

Realized volatility with stochastic sampling

Published:2010-06 Issue:6 Volume:120 Page:829-852
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Fukasawa Masaaki

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference26 articles.

1. A Central Limit Theorem for Realized Power and Bipower Variations of Continuous Semimartingales, From Stochastic Calculus to Mathematical Finance;Barndorff-Nielsen,2006

2. Econometric analysis of realized volatility and its use in estimating stochastic volatility models;Barndorff-Nielsen;J. R. Statist. Soc. Ser. B,2002

3. Power variation and time change;Barndorff-Nielsen;Theory Probab. Appl.,2006

4. The econometrics of ultra-high-frequency data;Engle;Econometrica,2000

5. M. Fukasawa, Estimation of the integrated volatility from space-discretized data, unpublished (2006).

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