Estimation of quarticity with high-frequency data
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Cites work
- A CLOSER LOOK AT THE EPPS EFFECT
- A Fourier transform method for nonparametric estimation of multivariate volatility
- A robust neighborhood truncation approach to estimation of integrated quarticity
- A Tale of Two Time Scales
- A theory of the term structure of interest rates
- An econometric analysis of nonsynchronous trading
- 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
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Fourier series method for measurement of multivariate volatilities
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Microstructure noise in the continuous case: the pre-averaging approach
- Modeling and Forecasting Realized Volatility
- 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 covariance estimation of non-synchronously observed diffusion processes
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Volatility forecasting and microstructure noise
- Zero-intelligence realized variance estimation.
Cited in
(14)- A calibration procedure for analyzing stock price dynamics in an agent-based framework
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- Estimation for high-frequency data under parametric market microstructure noise
- Estimation of the stochastic leverage effect using the Fourier transform method
- Asymptotic results for the Fourier estimator of the integrated quarticity
- Quarticity and other functionals of volatility: efficient estimation
- High-frequency volatility of volatility estimation free from spot volatility estimates
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- A robust neighborhood truncation approach to estimation of integrated quarticity
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility
- Local Parametric Estimation in High Frequency Data
- The SIML method without microstructure noise
- Identifying the number of latent factors of stochastic volatility models
- The Fourier-Malliavin volatility (FMVol) Matlab\(^{\circledR}\) library
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