Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data

DOI10.1198/016214507000001067MaRDI QIDQ3632599zbMATH OpenOpenAlexFDO

Authors Yazhen Wang, Jianqing Fan

Publication date 12 June 2009

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/016214507000001067

zbMATH Keywords

diffusionintegrated volatilityjump variationmarket microstructure noisewavelets

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(91)

• Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
• Volatility analysis with realized GARCH-Itô models
• Forecasting realized volatility: a review
• Optimal design of Fourier estimator in the presence of microstructure noise
• Common price and volatility jumps in noisy high-frequency data
• A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
• Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
• Structured volatility matrix estimation for non-synchronized high-frequency financial data
• Estimating the integrated volatility using high-frequency data with zero durations
• Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
• Jump robust daily covariance estimation by disentangling variance and correlation components
• Nonparametric range-based double smoothing spot volatility estimation for diffusion models
• Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
• Difference based estimators and infill statistics
• Econometrics of co-jumps in high-frequency data with noise
• Vast volatility matrix estimation for high-frequency financial data
• Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
• Volatility inference in the presence of both endogenous time and microstructure noise
• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
• Testing for diffusion in a discretely observed semimartingale
• Improving model performance with the integrated wavelet denoising method
• Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
• Estimation of long memory in volatility using wavelets
• An unbiased measure of integrated volatility in the frequency domain
• Statistical inference for unified Garch-Itô models with high-frequency financial data
• Optimal restricted quadratic estimator of integrated volatility
• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Identifying jumps in asset prices
• Sparse PCA-based on high-dimensional Itô processes with measurement errors
• Modeling and forecasting exchange rate volatility in time-frequency domain
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
• Risk Minimization for a Filtering Micromovement Model of Asset Price
• Realized kernels in practise : trades and quotes
• A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
• Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
• An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
• A new wavelet-based denoising algorithm for high-frequency financial data mining
• Modeling high-frequency financial data by pure jump processes
• On the approximate maximum likelihood estimation for diffusion processes
• A branching particle approximation to a filtering micromovement model of asset price
• Forecasting and trading high frequency volatility on large indices
• Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
• Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
• High-frequency data stock index future-spot market volatility jumps and jumps overflow test -- based on EEMD and wavelet denoising
• The Bickel-Rosenblatt test for continuous time stochastic volatility models
• Modelling systemic price cojumps with Hawkes factor models
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise
• Forecasting high-dimensional realized volatility matrices using a factor model
• Анализ высоковолатильных рынков с использованием метода Берга и фильтров Чебышева II рода и статистическое моделирование риска убыточности его инструментов
• Robust covariance estimation with noisy high-frequency financial data
• Detection of jumps in financial time series
• Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
• Multinomial Probability Estimation by Wavelet Thresholding
• Fast convergence rates in estimating large volatility matrices using high-frequency financial data
• On the estimation of integrated volatility in the presence of jumps and microstructure noise
• The relationship between the volatility of returns and the number of jumps in financial markets
• Jump detection in high-frequency financial data using wavelets
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Adaptive robust large volatility matrix estimation based on high-frequency financial data
• Volatility models for stylized facts of high‐frequency financial data
• Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
• Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach
• Overnight GARCH-Itô Volatility Models
• Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process
• A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
• High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
• Volatility analysis in high-frequency financial data
• High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
• Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility
• Co-jumping of treasury yield curve rates
• Asymptotic normality of kernel density estimation for mixing high-frequency data
• Asymptotic properties of histogram density estimation for long-span high-frequency data in diffusion processes
• Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations
• s-SaRa: a stable and powerful algorithm for DNA copy number variation detection
• Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
• Dynamic Realized Minimum Variance Portfolio Models
• High-frequency instruments and identification-robust inference for stochastic volatility models
• Exponential realized Garch-Itô volatility models
• Identifying jumps in high-frequency time series by wavelets
• Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
• Jump detection with dependent wild bootstrap
• Realised quantile-based estimation of the integrated variance
• Quasi-maximum likelihood estimation of volatility with high frequency data
• Threshold bipower variation and the impact of jumps on volatility forecasting
• Testing and detecting jumps based on a discretely observed process
• Functional data analysis for volatility
• On the jump activity index for semimartingales
• Trading-flow assisted estimation of the jump activity index
• Estimating the degree of activity of jumps in high frequency data

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