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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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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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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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Non‐normality restored

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

Poulsen, Rolf

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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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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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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Pricing of timer volatility-barrier options under Heston’s stochastic volatility model

Journal of computational and applied mathematics, 2025-03, Vol.457, p.116310, Article 116310

2025

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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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Pricing under rough volatility

Quantitative finance, 2016-06, Vol.16 (6), p.887-904

2016

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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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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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Forecasting volatility of the U.S. oil market

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

2014

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Cross-section of option returns and volatility

Journal of financial economics, 2009-11, Vol.94 (2), p.310-326

2009

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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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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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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

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

All the Men Just Call Him “Sir”

Non‐normality restored

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

Explaining asset pricing puzzles associated with the 1987 market crash

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

Pricing of timer volatility-barrier options under Heston’s stochastic volatility model

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

Option trading for optimizing volatility forecasting

Pricing under rough volatility

Efficient Client Selection Based on Contextual Combinatorial Multi-Arm Bandits

Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes

Threshold bipower variation and the impact of jumps on volatility forecasting

Forecasting volatility of the U.S. oil market

Cross-section of option returns and volatility

Resolution of policy uncertainty and sudden declines in volatility

Corrigendum to “Recent Advances in Dye Sensitized Solar Cells”

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