Estimating the integrated volatility using high-frequency data with zero durations
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Cites work
- scientific article; zbMATH DE number 5672418 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 3227597 (Why is no real title available?)
- A Tale of Two Time Scales
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A general version of the fundamental theorem of asset pricing
- ANOVA for diffusions and Itō processes
- Activity signature functions for high-frequency data analysis
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Discretization of processes.
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- 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
- Estimating covariation: Epps effect, microstructure noise
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Estimators of diffusions with randomly spaced discrete observations: a general theory
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- High-frequency covariance estimates with noisy and asynchronous financial data
- Inference for Continuous Semimartingales Observed at High Frequency
- Integrated volatility and round-off error
- Irregular sampling and central limit theorems for power variations: the continuous case
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
- 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
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- On mixing and stability of limit theorems
- On the jump activity index for semimartingales
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Realized kernels in practise : trades and quotes
- Realized volatility when sampling times are possibly endogenous
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Cited in
(7)- Nonparametric range-based double smoothing spot volatility estimation for diffusion models
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- Volatility estimation and jump testing via realized information variation
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous
- Statistical inferences for price staleness
- State heterogeneity analysis of financial volatility using high-frequency financial data
- Design-free estimation of integrated covariance matrices for high-frequency data
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