The information content of high-frequency data for estimating equity return models and forecasting risk
By Dobrislav Dobrev, P. Szerszen. 2010
58 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/eaca5373884a49cee58c6c684bf5ba284a0d18f7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- S. J. Koopman
- Makoto Takahashi
- Andrew J. Patton
- Tim Bollerslev
- Yasuhiro Omori
- Marcel Scharth
- Toshiaki Watanabe
- R. Quaedvlieg
Citations in the corpus
- Exploiting the errors: A simple approach for improved volatility forecasting (2016, methodology): “The approach for estimating stochastic volatility models based on realized volatility measures developed by Dobrev and Szerszen (2010) does incorporate the variance of the realized volatility error into the estimation of the models, but the parameters of the estimated models are assumed to be…”
- The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures (2011, background): “…studies that have proposed the estimation of joint models of returns and realised measures, including Takahashi, Omori, and Watanabe (2009) and Dobrev and Szerszen (2010), we argue that the estimation of such a model must recognise the endogeneity between these two random variables…”
- Exponential GARCH Modeling With Realized Measures of Volatility (2016, unknown): “The economic and statistical gains from incorporating realized measures in volatility models are typically found to be large, see, for example, Christoffersen et al. (2014) and Dobrev and Szerszen (2010).”
- Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2016, methodology): “All calculations in this paper are done by using Ox of Doornik (2009). (17)The inefficiency factor is defined as 1 + 2 ∑∞ s=1 ρs, where ρs is the sample autocorrelation at lag s.”
- Realized GARCH: a joint model for returns and realized measures of volatility (2012, unknown): “Importantly, the economic and statistical gains from incorporating realized measures in volatility models are typically found to be large (see, for example, Christoffersen et al., 2010; Dobrev and Szerszen, 2010).”