A Markov chain estimator of multivariate volatility from high frequency data

DOI10.1007/978-3-319-25826-3_17MaRDI QIDQ2956061zbMATH OpenOpenAlexFDO

Authors Peter Reinhard Hansen, Guillaume Horel, Asger Lunde, Ilya Archakov

Publication date 16 January 2017

Published in The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL https://pure.au.dk/ws/files/86343767/rp15_19.pdf

zbMATH Keywords

high frequency dataintegrated varianceMarkov chainmultivariate volatilityquadratic variationrealized variance

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
• A CLOSER LOOK AT THE EPPS EFFECT
• A Tale of Two Time Scales
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• High-frequency covariance estimates with noisy and asynchronous financial data
• Microstructure noise in the continuous case: the pre-averaging approach
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Moving Average-Based Estimators of Integrated Variance
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Realized range-based estimation of integrated variance
• Subsampling realised kernels

Cited in

(4)

• Change point dynamics for financial data: an indexed Markov chain approach
• New evidence on market response to public announcements in the presence of microstructure noise
• scientific article; zbMATH DE number 6390866 (Why is no real title available?)
• When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility

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Uses Software

• CVX

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