Bias-corrected realized variance
Yeh, J.; Wang, J.
Econometric Reviews 38(2): 170-192
2016
ISSN/ISBN: 0747-4938 DOI: 10.1080/07474938.2016.1222230
Accession: 082102392
Full-Text Article emailed within 0-6 h
Payments are secure & encrypted
References
Oya, K. 2011: Bias-corrected realized variance under dependent microstructure noise Mathematics and Computers in Simulation 81(7): 1290-1298Daouia, A.; Stupfler, G.; Usseglio-Carleve, A. 2024: Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles Statistics and Computing 34(4): 130
Gallis, J.A.; Li, F.; Turner, E.L. 2020: Xtgeebcv: a command for bias-corrected sandwich variance estimation for GEE analyses of cluster randomized trials Stata Journal 20(2): 363-381
Gollamudi, S.R.; Liao, P.; Hirsch, J. 1988: Evaluation of corrected loss variance as a visual field index. II. Corrected loss variance in conjunction with mean defect may identify stages of glaucoma Ophthalmologica. Journal International D'ophtalmologie. International Journal of Ophthalmology. Zeitschrift für Augenheilkunde 197(3): 144-150
Shin, S.; Kim, T.; Kim, J.; Goo, T.; Byun, Y. 2020: Application of Bias- and Variance-Corrected SST on Wintertime Precipitation Simulation of Regional Climate Model over East Asian Region Asia-Pacific Journal of Atmospheric Sciences 57(3): 387-404
Wang, L.; Wen, G. 2019: Bias-corrected variance components estimation of Partial EIV model; 偏差改正的Partial EIV模型方差分量估计 Cehui Xuebao/Acta Geodaetica et Cartographica Sinica 48(4): 412-421
Guan, Y. 2011: Bias-corrected variance estimation and hypothesis testing for spatial point and marked point processes using subsampling Biometrics 67(3): 926-936
Papantonis, I.; Rompolis, L.; Tzavalis, E. 2023: Improving variance forecasts: The role of Realized Variance features International Journal of Forecasting 39(3): 1221-1237
Clarke, R.T. 1990: Bias and variance of some estimators of suspended sediment load - Biais et variance de certaines estimations de la charge de sédiments en suspension Hydrological Sciences Journal 35(3): 253-261
Zheng, C.; Hu, T.; Zhou, C.; Zhou, X.-H. 2024: UMVUE-DR: Uniformly Minimum Variance Unbiased Doubly Robust Learning with Reduced Bias and Variance for Debiased Recommendation IEEE International Conference on Data Mining Workshops, ICDMW: 828-832
Drimus, G.G. 2012: Options on Realized Variance in Log-OU Models Applied Mathematical Finance 19(5): 477-494
Barndorff-Nielsen, O.E.; Shephard, N. 2002: Estimating quadratic variation using realized variance Journal of Applied Econometrics 17(5): 457-477
Hansen, P. R.; Lunde, A. 2006: Realized Variance and Market Microstructure Noise Journal of Business-Economic Statistics 24(2): 127-161
Carr, P.; Geman, H.; Madan, D.B.; Yor, M. 2011: Options on realized variance and convex orders Quantitative Finance 11(11): 1685-1694
Christensen, K.; Podolskij, M. 2007: Realized range-based estimation of integrated variance Journal of Econometrics 141(2): 323-349
Dumitru, A.M.H.; Hizmeri, R.; Izzeldin, M. 2025: Forecasting the realized variance in the presence of intraday periodicity Journal of Banking and Finance 170: 107342
Liu, J.; Maheu, J.M. 2017: Improving Markov switching models using realized variance Journal of Applied Econometrics 33(3): 297-318
Balcilar, M.; Bouri, E.I.; Gupta, R.; Pierdzioch, C. 2021: El niño, la niña, and the forecastability of the realized variance of heating oil price movements Sustainability (Switzerland) 13(14): 7987
Dufays, A.; Rombouts, J.V.K. 2018: Sparse Change-point HAR Models for Realized Variance Econometric Reviews 38(8): 857-880
Bonato, M.; Cepni, O.; Gupta, R.; Pierdzioch, C. 2021: Do oil-price shocks predict the realized variance of U.S. REITs? Energy Economics 104: 105689