ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
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Cites work
- A Tale of Two Time Scales
- Activity signature functions for high-frequency data analysis
- Analysis of Financial Time Series
- ANOVA for diffusions and Itō processes
- Bipower-type estimation in a noisy diffusion setting
- Brownian motion. With an appendix by Oded Schramm and Wendelin Werner
- 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
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimating covariation: Epps effect, microstructure noise
- Estimating the degree of activity of jumps in high frequency data
- Estimators of diffusions with randomly spaced discrete observations: a general theory
- High-frequency covariance estimates with noisy and asynchronous financial data
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 3227597 (Why is no real title available?)
- Inference for Continuous Semimartingales Observed at High Frequency
- Irregular sampling and central limit theorems for power variations: the continuous case
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Limit theorems for moving averages of discretized processes plus noise
- Microstructure noise in the continuous case: the pre-averaging approach
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- On the jump activity index for semimartingales
- Power Variation and Time Change
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Realized volatility when sampling times are possibly endogenous
- Statistics and high-frequency data
- The econometrics of high-frequency data
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
- Ultra high frequency volatility estimation with dependent microstructure noise
Cited in
(9)- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- Estimating the integrated volatility using high-frequency data with zero durations
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- Determining the integrated volatility via limit order books with multiple records
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
- Volatility estimation and jump testing via realized information variation
- G-M integrated type instantaneous volatility estimation
- Strong consistency of the kernel estimator of spot volatility for diffusion process
- Limiting spectral distribution of high-dimensional integrated covariance matrices based on high-frequency data with multiple transactions
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