Covariance measurement in the presence of non-synchronous trading and market microstructure noise

DOI10.1016/J.JECONOM.2010.03.015zbMath1441.62710OpenAlexW3123021978MaRDI QIDQ737261

Jim E. Griffin, Roel C. A. Oomen

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.015

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (21)

Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data ⋮ Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity ⋮ A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data ⋮ On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? ⋮ Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance ⋮ STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE ⋮ Irregular sampling and central limit theorems for power variations: the continuous case ⋮ Modeling tick-by-tick realized correlations ⋮ FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA ⋮ Bootstrapping realized multivariate volatility measures ⋮ Bias-correcting the realized range-based variance in the presence of market microstructure noise ⋮ Second-order asymptotic expansion for a non-synchronous covariation estimator ⋮ Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data ⋮ Estimating covariation: Epps effect, microstructure noise ⋮ Covariance measurement in the presence of non-synchronous trading and market microstructure noise ⋮ Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading ⋮ Confidence interval for correlation estimator between latent processes ⋮ Estimation of Correlation Between Latent Processes ⋮ Volatility Estimation Based on High-Frequency Data ⋮ Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing ⋮ Three-point approach for estimating integrated volatility and integrated covariance

Cites Work

• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Estimating covariation: Epps effect, microstructure noise
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Consistent estimation of covariation under nonsynchronicity
• On covariance estimation of non-synchronously observed diffusion processes
• Microstructure noise in the continuous case: the pre-averaging approach
• Zero-intelligence realized variance estimation.
• Modeling tick-by-tick realized correlations
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• High-dimensional covariance forecasting for short intra-day horizons
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• A Tale of Two Time Scales

This page was built for publication: Covariance measurement in the presence of non-synchronous trading and market microstructure noise