Efficient sampling for realized variance estimation in time-changed diffusion models
From MaRDI portal
Cites work
- A general version of the fundamental theorem of asset pricing
- A note on central limit theorems for quadratic variation in case of endogenous observation times
- A ReMeDI for microstructure noise
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A Tale of Two Time Scales
- Bespoke realized volatility: tailored measures of risk for volatility prediction
- Central limit theorems for realized volatility under hitting times of an irregular grid
- Data-based ranking of realised volatility estimators
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Econometric modelling of stock market intraday activity.
- Equivalence of Smoothing Parameter Selectors in Density and Intensity Estimation
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Estimating the integrated volatility with tick observations
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Exact simulation of Hawkes process with exponentially decaying intensity
- From zero to hero: realized partial (co)variances
- Handbook of Financial Time Series
- scientific article; zbMATH DE number 44889 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- Jump-robust volatility estimation using nearest neighbor truncation
- Microstructure noise in the continuous case: the pre-averaging approach
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Modeling and Forecasting Realized Volatility
- Modelling Financial High Frequency Data Using Point Processes
- 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
- On Testing Equal Conditional Predictive Ability Under Measurement Error
- Price fluctuations, market activity and trading volume
- Processes that can be embedded in Brownian motion
- Realized kernels in practise : trades and quotes
- Realized volatility with stochastic sampling
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
- Spectra of some self-exciting and mutually exciting point processes
- Statistical Properties of Microstructure Noise
- Subsampling realised kernels
- The Distribution of Realized Exchange Rate Volatility
- The elements of Hawkes processes
- The Model Confidence Set
- The Stationary Bootstrap
- Ultra high frequency volatility estimation with dependent microstructure noise
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- Volatility forecast comparison using imperfect volatility proxies
- When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
Cited in
(1)
This page was built for publication: Efficient sampling for realized variance estimation in time-changed diffusion models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6854604)