On measuring volatility of diffusion processes with high frequency data
By Emilio Barucci, Roberto Renò. 2002
72 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/90366d891b2b65af7bcf143c4d44e79d106b3125
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Citations in the corpus
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS (2008, methodology): “…we prefer to use s 2 instead of x as the real variable+ 4+ Using different interpolation techniques we get a bias in the volatility measurement ~Barucci and Renò, 2002b!+ 5+ This value of d1 was found by minimizing the integrated square error between the generated and reconstructed trajectory,…”
- Variation, jumps, market frictions and high frequency data in financial econometrics (2005, unknown): “The performance of this Fourier estimator of QV is discussed by, for example, Barucci and Reno (2002b), Barucci and Reno (2002a), Kanatani (2004b), Precup and Iori (2005), Nielsen and Frederiksen (2005) and Kanatani (2004a) who carry out some extensive simulation and empirical studies of the…”
- A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? (2005, unknown): “These measures include: one based on a different spline method and sampling frequency; one based on the Fourier method by Barucci and Reno (2002); two based on the previous-tick method; and two based on the linear interpolation method.”
- Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach (2007, unknown): “The latter study obtains an expression of the volatility in the frequency domain and derive an estimator of it in terms of Fourier transforms; see also Barucci and Renò (2002) and Høg and Lund (2003) for related work.”
- Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurements (2005, unknown): “Other recent methods for the construction of realised volatility include the Fourier method of Malliavin and Mancino (2002), and applied by Barucci and Reno (2002) and Hansen and Lunde (2003a), and the filtering method of Corsi, Zumbach, Müller, and Dacorogna (2001).”
- Realized Volatility: A Review (2008, unknown): “The authors considered three estimators: the realized variance, the estimator based on Fourier series (Barucci and Reno, 2002a,b; Malliavin and Mancino, 2002), and finally, the wavelet estimator of Høg and Lunde (2003).”