MODELING AND FORECASTING REALIZED VOLATILITY

By Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Paul Labys. 2003

3,790 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

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Citations in the corpus

Can Internet search queries help to predict stock market volatility (2016, positive): “We therefore resort to the log of the realized volatility as, amongst others, suggested by Andersen, Bollerslev, Diebold and Ebens (2001) and Andersen et al. (2003).”
25 years of time series forecasting (2006, background): “Important contributions to date have been Engle and Russell’s (1998) “Autoregressive Conditional Duration” model and Andersen et al. (2003).”
Option Valuation with Long-run and Short-run Volatility Components (2008, neutral): “In specification (3), the conditional volatility ht+1 can most usefully be thought of as consisting of two components.”
Jump detection with wavelets for high-frequency financial time series (2014, methodology): “Thus, understanding what drives jumps in underlying securities, how to characterize jumps both theoretically and empirically, and having efficient tests available for jumps that are sufficiently robust to withstand mis-specification and small sample bias is imperative.”
Volatility Transmission in Emerging European Foreign Exchange Markets (2011, methodology): “We make no parametric assumptions regarding the respective laws of motion (Andersen et al., 2003).”
Asset pricing tests with long run risks in consumption growth (2011, neutral): “The Euler equation for the observable return on the aggregate dividend claim, rm;t+1, is, Et exp log ct+1 + ( 1)rc;t+1 + rm;t+1 = 1 (41) Substituting the expression for rm;t+1 from equation (9) into the above Euler condition, we have Et[exp( log c xt t"c;t+1 + ( 1) 0 + ( 1) 1A0 +( 1) 1A1 xxt + ( 1) ”
Microstructure Noise, Realized Variance, and Optimal Sampling (2008, background): “…will be in characterizing the asymptotic and …nite sample properties of the classical realized variance estimator b V = P M j=1 e r 2 j : As in Andersen et al. (2003) and BN-S (2002), among others, b V will be used to estimate the integrated variance of the logarithmic price process over…”