Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249): Difference between revisions

@@ Property / cites work @@
+Is Brownian motion necessary to model high-frequency data?
+Normal rank
@@ Property / cites work @@
+Testing for jumps in noisy high frequency data
@@ Property / cites work: Testing for jumps in noisy high frequency data / rank @@
+Normal rank
@@ Property / cites work @@
+Increased correlation among asset classes: are volatility or jumps to blame, or both?
+Normal rank
@@ Property / cites work @@
+High frequency market microstructure noise estimates and liquidity measures
+Normal rank
@@ Property / cites work @@
+No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
+Normal rank
@@ Property / cites work @@
+Jump-robust volatility estimation using nearest neighbor truncation
+Normal rank
@@ Property / cites work @@
+A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
+Normal rank
@@ Property / cites work @@
+Tempered stable Lévy motion and transient super-diffusion
+Normal rank
@@ Property / cites work @@
+Q5493536
@@ Property / cites work: Q5493536 / rank @@
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Realized kernels in practice: trades and quotes
@@ Property / cites work: Realized kernels in practice: trades and quotes / rank @@
+Normal rank
@@ Property / cites work @@
+Financial econometric analysis at ultra-high frequency: Data handling concerns
+Normal rank
@@ Property / cites work @@
+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
+Normal rank
@@ Property / cites work @@
+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
+Normal rank
@@ Property / cites work @@
+Inference from high-frequency data: a subsampling approach
+Normal rank
@@ Property / cites work @@
+On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
+Normal rank
@@ Property / cites work @@
+Efficient asymptotic variance reduction when estimating volatility in high frequency data
+Normal rank
@@ Property / cites work @@
+Threshold bipower variation and the impact of jumps on volatility forecasting
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
+Normal rank
@@ Property / cites work @@
+Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
+Normal rank
@@ Property / cites work @@
+A GENERALIZED BLOCK BOOTSTRAP FOR SEASONAL TIME SERIES
+Normal rank
@@ Property / cites work @@
+Bootstrapping Realized Volatility
@@ Property / cites work: Bootstrapping Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
+Normal rank
@@ Property / cites work @@
+A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA
+Normal rank
@@ Property / cites work @@
+BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Limit theorems for moving averages of discretized processes plus noise
+Normal rank
@@ Property / cites work @@
+Discretization of processes.
@@ Property / cites work: Discretization of processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for common arrivals of jumps for discretely observed multidimensional processes
+Normal rank
@@ Property / cites work @@
+Subsampling high frequency data
@@ Property / cites work: Subsampling high frequency data / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
+Normal rank
@@ Property / cites work @@
+Volatility occupation times
@@ Property / cites work: Volatility occupation times / rank @@
+Normal rank
@@ Property / cites work @@
+ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION
+Normal rank
@@ Property / cites work @@
+Bootstrap procedures under some non-i.i.d. models
@@ Property / cites work: Bootstrap procedures under some non-i.i.d. models / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrap and wild bootstrap for high dimensional linear models
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
+Normal rank
@@ Property / cites work @@
+Inference for Continuous Semimartingales Observed at High Frequency
+Normal rank
@@ Property / cites work @@
+Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
+Normal rank
@@ Property / cites work @@
+Bipower-type estimation in a noisy diffusion setting
+Normal rank
@@ Property / cites work @@
+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
+Normal rank
@@ Property / cites work @@
+Goodness-of-fit testing for fractional diffusions
@@ Property / cites work: Goodness-of-fit testing for fractional diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Subsampling
@@ Property / cites work: Subsampling / rank @@
+Normal rank
@@ Property / cites work @@
+The Dependent Wild Bootstrap
@@ Property / cites work: The Dependent Wild Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Jumps and betas: a new framework for disentangling and estimating systematic risks
+Normal rank
@@ Property / cites work @@
+Activity signature functions for high-frequency data analysis
+Normal rank
@@ Property / cites work @@
+Volatility Jumps
@@ Property / cites work: Volatility Jumps / rank @@
+Normal rank
@@ Property / cites work @@
+The Realized Laplace Transform of Volatility
@@ Property / cites work: The Realized Laplace Transform of Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility activity: specification and estimation
@@ Property / cites work: Volatility activity: specification and estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for bipower variation of semimartingales
+Normal rank
@@ Property / cites work @@
+Model checks for the volatility under microstructure noise
+Normal rank
@@ Property / cites work @@
+Jackknife, bootstrap and other resampling methods in regression analysis
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation of volatility with high frequency data
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank