Review of statistical approaches for modeling high-frequency trading data (Q6108877): Difference between revisions

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+Testing for jumps in a discretely observed process
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+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
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+Testing for jumps in noisy high frequency data
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+Realized stochastic volatility with general asymmetry and long memory
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+Long memory processes and fractional integration in econometrics
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Q5447122
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+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
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+Q4865042
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+Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data
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+Identifying Jumps in Asset Prices
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+Generalized autoregressive conditional heteroscedasticity
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+Regression Analysis of Count Data
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+Drift in Transaction‐Level Asset Price Models
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+The Variance Gamma Process and Option Pricing
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+Modelling Asset Prices for Algorithmic and High-Frequency Trading
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+Copula estimation for nonsynchronous financial data
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+A Markov-switching multifractal inter-trade duration model, with application to US equities
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+Markov chain Monte Carlo methods for stochastic volatility models.
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+Multivariate Stochastic Volatility
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+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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+Financial Modelling with Jump Processes
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+Q5654899
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+An Introduction to the Theory of Point Processes
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+Long memory in intertrade durations, counts and realized volatility of NYSE stocks
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+On the network topology of variance decompositions: measuring the connectedness of financial firms
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Hyperbolic distributions in finance
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+Double Exponential Families and Their Use in Generalized Linear Regression
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+Q4343010
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
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+A family of autoregressive conditional duration models
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+Higher order elicitability and Osband's principle
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+Q5711197
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+Forecasting risk via realized GARCH, incorporating the realized range
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+Nested Simulation in Portfolio Risk Measurement
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+Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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+Multivariate Stochastic Variance Models
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+Q3089394
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+Spectra of some self-exciting and mutually exciting point processes
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+On covariance estimation of non-synchronously observed diffusion processes
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+Econometric duration analysis
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+Estimation of the lead-lag parameter from non-synchronous data
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+Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
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+Portfolio selection under distributional uncertainty: a relative robust CVaR approach
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+Simulation and Inference for Stochastic Processes with YUIMA
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+Microstructure noise in the continuous case: the pre-averaging approach
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+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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+Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach
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+Q4779058
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+Survival analysis. A self-learning text.
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+Econometric Methods for the Duration of Unemployment
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+Intraday value-at-risk: an asymmetric autoregressive conditional duration approach
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+Measuring volatility with the realized range
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+Estimating value-at-risk and expected shortfall using the intraday low and range data
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+Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Long‐Memory Time Series
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+A CLOSER LOOK AT THE EPPS EFFECT
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+Q4682143
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+Realized stochastic volatility with leverage and long memory
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+Forecasting intraday volatility and value-at-risk with high-frequency data
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+Volatility analysis with realized GARCH-Itô models
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+Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
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+Estimating stochastic volatility models using daily returns and realized volatility simultaneously
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+The impact of transaction duration, volume and direction on price dynamics and volatility
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+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
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+Generalized duration models and optimal estimation using estimating functions
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+Analysis of Financial Time Series
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+Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
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+Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
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+Estimating covariation: Epps effect, microstructure noise
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+Modeling financial durations using penalized estimating functions
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+On Fréchet autoregressive conditional duration models
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+Modeling and forecasting persistent financial durations
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