Jump-robust volatility estimation using nearest neighbor truncation
From MaRDI portal
Publication:527978
DOI10.1016/j.jeconom.2012.01.011zbMath1443.62327OpenAlexW3125722875MaRDI QIDQ527978
Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w15533.pdf
high-frequency datarealized volatilityintegrated variancefinite activity jumpsintraday U-shape patternsjump robustnessnearest neighbor truncation
Related Items
Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements ⋮ The effect of additive outliers on a fractional unit root test ⋮ The effect of infrequent trading on detecting price jumps ⋮ Between data cleaning and inference: pre-averaging and robust estimators of the efficient price ⋮ Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market ⋮ Modeling and forecasting exchange rate volatility in time-frequency domain ⋮ Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ Modeling returns volatility: realized GARCH incorporating realized risk measure ⋮ Directed acyclic graph based information shares for price discovery ⋮ Volatility forecasting of strategically linked commodity ETFs: gold-silver ⋮ A slightly depressing jump model: intraday volatility pattern simulation ⋮ Forecasting and trading high frequency volatility on large indices ⋮ The observed asymptotic variance: hard edges, and a regression approach ⋮ Nonlinear high-frequency stock market time series: Modeling and combine forecast evaluations ⋮ Efficient asymptotic variance reduction when estimating volatility in high frequency data ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model ⋮ The contribution of intraday jumps to forecasting the density of returns ⋮ Jump robust daily covariance estimation by disentangling variance and correlation components ⋮ Stock market contagion: a new approach ⋮ A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps ⋮ Volatility estimation and jump detection for drift-diffusion processes ⋮ Volatility measurement with pockets of extreme return persistence ⋮ Uniform predictive inference for factor models with instrumental and idiosyncratic betas ⋮ ETF basket-adjusted covariance estimation ⋮ Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective ⋮ From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution ⋮ We modeled long memory with just one lag! ⋮ Estimating stochastic volatility models using realized measures ⋮ Bias reduction in spot volatility estimation from options ⋮ ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS ⋮ Realized wavelet-based estimation of integrated variance and jumps in the presence of noise ⋮ The dynamic mixed hitting-time model for multiple transaction prices and times ⋮ High-frequency jump tests: which test should we use? ⋮ Bootstrap prediction in univariate volatility models with leverage effect ⋮ Cojumps and asset allocation in international equity markets ⋮ Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes ⋮ Heterogenous market hypothesis evaluation using multipower variation volatility ⋮ Optimum thresholding using mean and conditional mean squared error ⋮ Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book ⋮ Estimation of integrated quadratic covariation with endogenous sampling times ⋮ Inference from high-frequency data: a subsampling approach ⋮ Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin ⋮ A martingale decomposition of discrete Markov chains ⋮ Forecasting the volatility of crude oil futures using intraday data ⋮ Incorporating realized quarticity into a realized stochastic volatility model ⋮ Nonparametric estimation of jump diffusion models ⋮ Jump robust two time scale covariance estimation and realized volatility budgets ⋮ News, volatility and jumps: the case of natural gas futures ⋮ Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions ⋮ Exploiting the errors: a simple approach for improved volatility forecasting ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ Realised quantile-based estimation of the integrated variance ⋮ Estimation of volatility in a high-frequency setting: a short review ⋮ Asymptotic results for the Fourier estimator of the integrated quarticity ⋮ Chasing volatility. A persistent multiplicative error model with jumps ⋮ Cointegration in high frequency data ⋮ A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY ⋮ Bootstrapping High-Frequency Jump Tests ⋮ Volatility Estimation and Jump Testing via Realized Information Variation ⋮ Unified inference for nonlinear factor models from panels with fixed and large time span ⋮ Volatility forecasting accuracy for Bitcoin ⋮ Volatility Estimation Based on High-Frequency Data ⋮ Spot volatility estimation using delta sequences ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS ⋮ On the estimation of integrated volatility in the presence of jumps and microstructure noise ⋮ Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method ⋮ Specification and structural break tests for additive models with applications to realized variance data ⋮ The Role of Binance in Bitcoin Volatility Transmission
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- 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
- Realized range-based estimation of integrated variance
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Realised quantile-based estimation of the integrated variance
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Ultra high frequency volatility estimation with dependent microstructure noise
- Volatility estimators for discretely sampled Lévy processes
- Limit theorems for multipower variation in the presence of jumps
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Realized Volatility: A Review
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- Inference for Continuous Semimartingales Observed at High Frequency
- Realized kernels in practice: trades and quotes
- A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Power Variation and Time Change
- A Tale of Two Time Scales
This page was built for publication: Jump-robust volatility estimation using nearest neighbor truncation