Robust estimation of integrated and spot volatility (Q6854617)

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Robust estimation of integrated and spot volatility

scientific article; zbMATH DE number 8162959

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English	Robust estimation of integrated and spot volatility	scientific article; zbMATH DE number 8162959

Statements

instance of

scholarly article

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title

Robust estimation of integrated and spot volatility (English)

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Journal of Econometrics

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publication date

24 February 2026

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zbMATH Keywords

integrated volatility

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spot volatility

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pre-averaging

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microstructure noise

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serial dependence

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MaRDI profile type

MaRDI publication profile

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cites work

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Q5495335

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Testing for jumps in noisy high frequency data

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Ultra high frequency volatility estimation with dependent microstructure noise

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Recalcitrant betas: intraday variation in the cross-sectional dispersion of systematic risk

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Common price and volatility jumps in noisy high-frequency data

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Fixed-\(k\) inference for volatility

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On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes

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When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility

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A general version of the fundamental theorem of asset pricing

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Spot volatility estimation for high-frequency data

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Continuous Record Asymptotics for Rolling Sample Variance Estimators

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Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

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A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous

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Microstructure noise in the continuous case: the pre-averaging approach

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Statistical Properties of Microstructure Noise

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Estimating the integrated volatility with tick observations

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Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method

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Limit theorems for moving averages of discretized processes plus noise

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Asymptotic error distributions for the Euler method for stochastic differential equations

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Discretization of processes.

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Quarticity and other functionals of volatility: efficient estimation

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Q4778955

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Testing for common arrivals of jumps for discretely observed multidimensional processes

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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

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Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise

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Nonparametric filtering of the realized spot volatility: a kernel-based approach

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Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method

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Dependent microstructure noise and integrated volatility estimation from high-frequency data

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A ReMeDI for microstructure noise

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Volatility of volatility: estimation and tests based on noisy high frequency data with jumps

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Realized volatility when sampling times are possibly endogenous

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A Fourier transform method for nonparametric estimation of multivariate volatility

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Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

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Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading

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Volatility jumps

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Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices

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Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels

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Quasi-maximum likelihood estimation of volatility with high frequency data

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Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

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A Tale of Two Time Scales

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Estimating spot volatility with high-frequency financial data

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Identifiers

DOI

10.1016/J.JECONOM.2023.105614

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Robust estimation of integrated and spot volatility