M. Wahab

Economics and Econometrics · with Huang · 2010–2017

A researcher in the Science corpus: 4 papers; trusts 44 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

Whom M. Wahab trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Torben G. Andersen
  2. Tim Bollerslev
  3. Ole E. Barndorff-Nielsen
  4. Yudong Wang
  5. Fulvio Corsi
  6. P. R. Hansen
  7. Geert Bekaert
  8. Leopoldo Eduardo Cárdenas-Barrón
  9. Paolo Agnolucci
  10. Chin Wen Cheong

Papers from M. Wahab's perspective

Ordered by how strongly the researchers M. Wahab trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (Review of Economics and Statistics)
  2. Power and bipower variation with stochastic volatility and jumps
  3. A Reality Check for Data Snooping
  4. MODELING AND FORECASTING REALIZED VOLATILITY
  5. Microstructure Noise, Realized Variance, and Optimal Sampling
  6. Generalized autoregressive conditional heteroskedasticity
  7. Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise
  8. A Simple Approximate Long-Memory Model of Realized Volatility
  9. The VIX, the Variance Premium and Stock Market Volatility (Social Science Research Network)
  10. No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications

Their papers