Realized Volatility Models is a class of econometric frameworks that belong to the genus of volatility estimation methods, specifically distinguished by their use of high-frequency financial data to construct precise, non-parametric measures of latent stochastic volatility through aggregation of intraperiod squared returns.
363
Publications
24.4K
Citations
539
Authors
405
Institutions
Publications per year
2017–2026
130
Parents
Publications
363
A Simple Approximate Long-Memory Model of Realized Volatility
Fulvio Corsi · Journal of Financial Econometrics · 2008 · 2.5K citations
Realized kernels in practice: trades and quotes
Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde et al. · Econometrics Journal · 2009 · 673 citations
1–5 of 363
Authors
539
- TB
16
h-index
- PR
12
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- TG
11
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11
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9
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1–5 of 539
Institutions
405
Duke University
Durham, United States
17 h-index
24 publications
2.9K citations
Aarhus University
Aarhus, Denmark
16 h-index
29 publications
2.4K citations
New York University
New York, United States
12 h-index
18 publications
1.8K citations
National Bureau of Economic Research
Cambridge, United States
11 h-index
28 publications
1.8K citations
Southwest Jiaotong University
Chengdu, China
11 h-index
24 publications
906 citations
Erasmus University Rotterdam
Rotterdam, The Netherlands
9 h-index
10 publications
387 citations
University of Chicago
Chicago, United States
9 h-index
12 publications
716 citations
Copenhagen Business School
Copenhagen, Denmark
8 h-index
8 publications
749 citations
1–8 of 405
Venues
- SSRN Electronic Journal
Repository · 47 publications · 2.5K citations
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- Journal of Econometrics
19 publications · 2.3K citations
17
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- Journal of Financial Econometrics
16 publications · 3.3K citations
13
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- Journal of Futures Markets
11 publications · 473 citations
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- Journal of Forecasting
12 publications · 474 citations
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