Estimating integrated co-volatility with partially miss-ordered high frequency data

DOI10.1007/S11203-015-9124-YMaRDI QIDQ300776zbMATH OpenOpenAlexFDO

Authors Zhi Liu

Publication date 29 June 2016

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-015-9124-y

zbMATH Keywords

central limit theoremdiffusion modelstable convergencehigh frequency datamultiple transactions

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
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• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
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• High-frequency covariance estimates with noisy and asynchronous financial data
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• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Nonsynchronous covariation process and limit theorems
• On covariance estimation of non-synchronously observed diffusion processes
• On estimating the integrated co-volatility using noisy high-frequency data with jumps
• On mixing and stability of limit theorems
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Statistics and high-frequency data
• The pricing of options and corporate liabilities

Cited in

(5)

• A closed-form formula characterization of the Epps effect
• Estimating the integrated volatility using high-frequency data with zero durations
• Estimation of the realized (co-)volatility vector: large deviations approach
• 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

Describes a project that uses

Uses Software

• FinTS

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