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Realized volatility forecasting and market microstructure noise

Journal of econometrics, 2011, Vol.160 (1), p.220-234

2011

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High-frequency financial econometrics

1st ed., 2014

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Household Incomes and Bank Residential Mortgage in Russia

SHS Web of Conferences, 2021, Vol.93, p.2010

2021

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Calendar Arbitrage in the FX Volatility Surface

Wilmott (London, England), 2020-03, Vol.2020 (106), p.10-11

Wystup, Uwe

2020

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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Journal of econometrics, 2011, Vol.160 (1), p.235-245

2011

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Non‐normality restored

Wilmott (London, England), 2019-05, Vol.2019 (101), p.16-17

Poulsen, Rolf

2019

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All the Men Just Call Him “Sir”

Wilmott (London, England), 2019-05, Vol.2019 (101), p.2-3

Tudball, Dan

2019

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Exact Solutions for a GBM‐Type Stochastic Volatility Model Having a Stationery Distribution

Wilmott (London, England), 2019-05, Vol.2019 (101), p.20-41

Lewis, Alan L.

2019

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Ultra high frequency volatility estimation with dependent microstructure noise

Journal of econometrics, 2011, Vol.160 (1), p.160-175

2011

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Arbitrage in the Perfect Volatility Surface

Wilmott (London, England), 2018-09, Vol.2018 (97), p.16-17

Wystup, Uwe

2018

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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

Journal of econometrics, 2011, Vol.160 (1), p.48-57

2011

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Volatility is rough

Quantitative finance, 2018-06, Vol.18 (6), p.933-949

2018

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Short-time at-the-money skew and rough fractional volatility

Quantitative finance, 2017-02, Vol.17 (2), p.189-198

Fukasawa, Masaaki

2017

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The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

Energy economics, 2016-06, Vol.57, p.78-93

2016

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Option trading for optimizing volatility forecasting

Journal of Statistical and Econometric Methods, 2017-01, Vol.6 (3)

Sogiakas, Vasilios

2017

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Efficient Client Selection Based on Contextual Combinatorial Multi-Arm Bandits

IEEE transactions on wireless communications, 2023-08, Vol.22 (8), p.1-1

2023

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Explaining asset pricing puzzles associated with the 1987 market crash

Journal of financial economics, 2011-09, Vol.101 (3), p.552-573

2011

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Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes

Management science, 2017-02, Vol.63 (2), p.333-354

2017

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Threshold bipower variation and the impact of jumps on volatility forecasting

Econometrics, 2010-12, Vol.159 (2), p.276-288

2010

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Analytically pricing volatility options and capped/floored volatility swaps with nonlinear payoffs in discrete observation case under the Merton jump-diffusion model driven by a nonhomogeneous Poisson process

Applied mathematics and computation, 2025-02, Vol.486, p.129029, Article 129029

Rujivan, Sanae

2025

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Forecasting volatility of the U.S. oil market

Journal of banking & finance, 2014-10, Vol.47, p.1-14

2014

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Corrigendum to “Recent Advances in Dye Sensitized Solar Cells”

Advances in materials science and engineering, 2015-01, Vol.2015 (2015), p.1-1

2015

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Resolution of policy uncertainty and sudden declines in volatility

Journal of econometrics, 2018-04, Vol.203 (2), p.297-315

2018

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Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices

Journal of banking & finance, 2008-11, Vol.32 (11), p.2401-2411

2008

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Roughness Properties of Paths and Signals

Das, Purba

2022

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Realized volatility forecasting and market microstructure noise

High-frequency financial econometrics

Household Incomes and Bank Residential Mortgage in Russia

Calendar Arbitrage in the FX Volatility Surface

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Non‐normality restored

All the Men Just Call Him “Sir”

Exact Solutions for a GBM‐Type Stochastic Volatility Model Having a Stationery Distribution

Ultra high frequency volatility estimation with dependent microstructure noise

Arbitrage in the Perfect Volatility Surface

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

Volatility is rough

Short-time at-the-money skew and rough fractional volatility

The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

Option trading for optimizing volatility forecasting

Efficient Client Selection Based on Contextual Combinatorial Multi-Arm Bandits

Explaining asset pricing puzzles associated with the 1987 market crash

Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes

Threshold bipower variation and the impact of jumps on volatility forecasting

Analytically pricing volatility options and capped/floored volatility swaps with nonlinear payoffs in discrete observation case under the Merton jump-diffusion model driven by a nonhomogeneous Poisson process

Forecasting volatility of the U.S. oil market

Corrigendum to “Recent Advances in Dye Sensitized Solar Cells”

Resolution of policy uncertainty and sudden declines in volatility

Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices

Roughness Properties of Paths and Signals

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