Rodrigo Hizmeri

University of Liverpool - Management School (ULMS)

Chatham St.

Liverpool, L69 7ZH

United Kingdom

http://www.rodrigohizmeri.com

SCHOLARLY PAPERS

6

DOWNLOADS

531

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

A Generalized Heterogeneous Autoregressive Model using Market Information

Quantitative Finance (forthocoming)
Number of pages: 55 Posted: 18 Dec 2019 Last Revised: 10 May 2022
University of Liverpool - Management School (ULMS), Lancaster University Management School, Lancaster University - Department of Accounting and Finance and University of Kent, Kent Business School
Downloads 151 (263,136)

Abstract:

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Realized Volatility, Microstructure Noise, Pre-Averaged Estimators, Semi-variances, Semicovariances, Volatility Forecasting.

2.

A Simple Model Correction for Modelling and Forecasting (Un)Reliable Realized Volatility

Number of pages: 49 Posted: 01 Aug 2020 Last Revised: 08 Jul 2021
Rodrigo Hizmeri, Marwan Izzeldin and Mike Tsionas
University of Liverpool - Management School (ULMS), Lancaster University Management School and Lancaster University
Downloads 97 (364,520)
Citation 1

Abstract:

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Realized Volatility, Forecasting, Measurement Error, HAR, GARCH, HARQ, DBC-HAR

The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility

Number of pages: 44 Posted: 01 May 2019 Last Revised: 08 Jul 2021
University of Liverpool - Management School (ULMS), University of Liverpool - Management School (ULMS), Lancaster University Management School, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 48 (532,792)

Abstract:

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Volatility Forecasting, Jump Measures, Business Sampling, Calendar Sampling, Market Microstructure Noise, Model Averaging

The Contribution of Jump Activity and Sign to Forecasting Stock Price Volatility

FRB of Dallas Working Paper No. 1902
Number of pages: 46 Posted: 22 Apr 2019 Last Revised: 29 Apr 2020
University of Liverpool - Management School (ULMS), Lancaster University Management School, Federal Reserve Banks - Federal Reserve Bank of Dallas and Lancaster University
Downloads 41 (568,002)

Abstract:

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4.

Forecasting the Realized Variance in the Presence of Intraday Periodicity

Number of pages: 52 Posted: 11 Jun 2019 Last Revised: 16 Apr 2021
Ana-Maria H. Dumitru, Rodrigo Hizmeri and Marwan Izzeldin
University of Surrey, School of Economics, University of Liverpool - Management School (ULMS) and Lancaster University Management School
Downloads 79 (409,976)

Abstract:

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realized volatility, heterogeneous autoregressive models, intraday periodicity, forecast, realized jumps

5.

Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps

Number of pages: 39 Posted: 12 Jan 2021 Last Revised: 08 Jul 2021
Rodrigo Hizmeri, Marwan Izzeldin and Ingmar Nolte
University of Liverpool - Management School (ULMS), Lancaster University Management School and Lancaster University - Department of Accounting and Finance
Downloads 77 (416,089)
Citation 1

Abstract:

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Common Jumps, Directional Common Jumps, Realized Covariances, Forecasting, Asset Allocation, Portfolio Construction

6.

Evaluating the Underlying Components of High Frequency Financial Data: Finite Sample Performance and Microstructure Noise Effects

Number of pages: 37 Posted: 03 Aug 2020
Rodrigo Hizmeri and Marwan Izzeldin
University of Liverpool - Management School (ULMS) and Lancaster University Management School
Downloads 38 (571,502)

Abstract:

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high-frequency data, infinite jumps, finite jumps, Brownian motion, microstructure noise, continuous-time-models