smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2002SMQ / 150261051877352
Measuring and forecasting financial variability using realised variance with and without a model
Bent Nielsen / Carla Ysusi / Neil Shephard / Ole E. Barndorff-Nielsen
stochastic processes / time seriesResource overview

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

Paper2002

by Bent Nielsen, Carla Ysusi, Neil Shephard, Ole E. Barndorff-Nielsen

Tags
stochastic processestime seriesvolatility forecasting

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for financial time series and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. Conditional Expectation

    Understand what it means to condition on current information.

  4. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Econometrics and Financial Time Series Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Bent Nielsen, Carla Ysusi, Neil Shephard, Ole E. Barndorff-Nielsen

6