Measuring and forecasting financial variability using realised variance with and without a model.

Measuring and forecasting financial variability using realised variance with and without a model.

We use high frequency financial data to proxy, via the realised variance, each day's financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known character...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Barndorff-Nielsen, O, Nielsen, B, Shephard, N, Ysusi, C
Fformat:	Working paper
Iaith:	English
Cyhoeddwyd:	Nuffield College (University of Oxford) 2002

Eitemau Tebyg

Measuring and forecasting financial variability using realised variance.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

How Accurate Is the Asymptotic Approximation to the Distribution of Realised Variance?
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2005)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2005)

Impact of Jumps on Returns and Realised Variances: Econometric Analysis of Time-Deformed Levy Processes.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2003)

Measuring downside risk-realised semivariance.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2008)

Measuring down-side risk-realised semivariance.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2008)

Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Realised power variation and stochastic volatility models
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2003)

Realised power variation and stochastic volatility models.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Estimating quadratic variation using realised volatility.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Subsampling realised kernels
gan: Shephard, N, et al.
Cyhoeddwyd: (2011)

Subsampling realised kernels
gan: Shephard, N, et al.
Cyhoeddwyd: (2006)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
gan: Shephard, N, et al.
Cyhoeddwyd: (2001)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

How accurate is the asymptotic approximation to the distribution of realised volatility?
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

A Feasible Central Limit Theory for Realised Volatility Under Leverage.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Subsampling realised kernels.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2011)

Subsampling realised kernels.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Estimating quadratic variation using realized variance
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2002)

Estimating Quadratic Variation Using Realized Variance.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2002)

Realized Variance and Market Microstructure Noise: Comment.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Estimating Quadratic Variation Using Realized Variance.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Measuring downside risk - realised semivariance
gan: Shephard, N, et al.
Cyhoeddwyd: (2008)

Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2007)

Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
gan: Shephard, N, et al.
Cyhoeddwyd: (2008)

Modelling by Levy Processes for Financial Econometrics.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
gan: Shephard, N, et al.
Cyhoeddwyd: (2001)

Modelling and measuring volatility.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2008)

Modelling and measuring volatility
gan: Shephard, N, et al.
Cyhoeddwyd: (2008)

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
gan: Shephard, N, et al.
Cyhoeddwyd: (2011)

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2011)

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2008)

Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2004)

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2006)

Econometrics of testing for jumps in financial economics using bipower variation.
gan: Barndorff-Nielsen, O, et al.
Cyhoeddwyd: (2003)