Inference for Continuous Semimartingales Observed at High Frequency
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Cited in
(93)- A Gaussian calculus for inference from high frequency data
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
- Stochastic volatility and stochastic leverage
- Asymptotic equivalence for inference on the volatility from noisy observations
- Local Parametric Estimation in High Frequency Data
- Statistics and high-frequency data
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Variation and efficiency of high-frequency betas
- Realized regression with asynchronous and noisy high frequency and high dimensional data
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Inference theory for volatility functional dependencies
- Optimal design of Fourier estimator in the presence of microstructure noise
- Quarticity and other functionals of volatility: efficient estimation
- Estimating the integrated volatility using high-frequency data with zero durations
- Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
- Generalized method of integrated moments for high-frequency data
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- Assessment of uncertainty in high frequency data: the observed asymptotic variance
- Subsampling high frequency data
- Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- A local Gaussian bootstrap method for realized volatility and realized beta
- Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
- Volatility estimation for stochastic PDEs using high-frequency observations
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Adaptive estimation of continuous-time regression models using high-frequency data
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- A general property for time aggregation
- Implied and realized volatility: empirical model selection
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
- Nonparametric Bayesian volatility learning under microstructure noise
- Jumps in equilibrium prices and market microstructure noise
- Jump-robust volatility estimation using nearest neighbor truncation
- Efficient estimation of integrated volatility incorporating trading information
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- Bias-optimal vol-of-vol estimation: the role of window overlapping
- On the approximate maximum likelihood estimation for diffusion processes
- On the systematic and idiosyncratic volatility with large panel high-frequency data
- The observed asymptotic variance: hard edges, and a regression approach
- Do price and volatility jump together?
- Intraday cross-sectional distributions of systematic risk
- Optimal nonparametric range-based volatility estimation
- Realized volatility when sampling times are possibly endogenous
- Stable convergence in law in approximation of stochastic integrals with respect to diffusions
- Empirical likelihood for high frequency data
- The econometrics of high-frequency data
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
- Bumvu estimators
- High dimensional regression coefficient test with high frequency data
- Robust realized integrated beta estimator with application to dynamic analysis of integrated beta
- Estimation for high-frequency data under parametric market microstructure noise
- Statistical inference for the doubly stochastic self-exciting process
- Rank Tests at Jump Events
- Volatility coupling
- A note on the limit theorems for hitting times of path-dependent functionals of Itô semimartingales
- Mixed-scale jump regressions with bootstrap inference
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
- Augmented half-life estimation based on high-frequency data
- Local mispricing and microstructural noise: a parametric perspective
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- Efficient estimation of integrated volatility and related processes
- Volatility inference in the presence of both endogenous time and microstructure noise
- Efficient estimation of integrated volatility functionals under general volatility dynamics
- A Hausman test for the presence of market microstructure noise in high frequency data
- Changes in the span of systematic risk exposures
- On the estimation of high-dimensional integrated covariance matrix based on high-frequency data with multiple transactions
- A robust neighborhood truncation approach to estimation of integrated quarticity
- Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
- The estimation of leverage effect with high-frequency data
- Realized cumulants for martingales
- Large deviation principles of realized Laplace transform of volatility
- Quasi-maximum likelihood estimation of volatility with high frequency data
- A nonparametric test of a strong leverage hypothesis
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
- Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
- The leverage effect puzzle revisited: identification in discrete time
- Estimation of correlation for continuous semimartingales
- Design-free estimation of integrated covariance matrices for high-frequency data
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Estimation of integrated quadratic covariation with endogenous sampling times
- Nonparametric inference on Lévy measures and copulas
- Principal Component Analysis of High-Frequency Data
- Time-varying leverage effects
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- A CLT for second difference estimators with an application to volatility and intensity
- The double Gaussian approximation for high frequency data
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
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