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Results for realized volatility

Publications & Outputs

  1. The economic value of volatility timing with realized jumps

    Nolte, I. & Xu, Q., 12/2015, In : Journal of Empirical Finance. 34, p. 45-59 15 p.

    Research output: Contribution to journalJournal article

  2. Least Squares inference on integrated volatility and the relationship between efficient Prices and noise

    Nolte, I. & Voev, V., 2012, In : Journal of Business and Economic Statistics. 30, 1, p. 94-108 15 p.

    Research output: Contribution to journalJournal article

  3. Frequency domain estimation of integrated volatility for Ito processes in the presence of market-microstructure noise

    Olhede, S. C., Sykulski, A. M. & Pavliotis, G. A., 2009, In : Multiscale Modeling and Simulation. 8, 2, p. 393-427 35 p.

    Research output: Contribution to journalJournal article

  4. Trading volume and the number of trades: a comparative study using high frequency data

    Izzeldin, M., 2007, Lancaster University: The Department of Economics, 25 p. (Economics Working Paper Series; vol. 2007, no. 14).

    Research output: Working paper