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 modelhigh frequency datamultiple transactionsstable convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of nonparametric inference (62G20) 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 realised power and bipower variation of continuous semimartingales
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• A Tale of Two Time Scales
• Analysis of Financial Time Series
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• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Estimating covariation: Epps effect, microstructure noise
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
• 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?)
• Limit theorems for bipower variation of semimartingales
• Limit theorems for moving averages of discretized processes plus noise
• Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
• 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
• 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)

• 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
• A closed-form formula characterization of the Epps effect
• 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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