A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
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Cites work
- A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
- A Tale of Two Time Scales
- ANOVA for diffusions and Itō processes
- Are volatility estimators robust with respect to modeling assumptions?
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Diffusions with measurement errors. II. Optimal estimators
- Edgeworth series for lattice distributions
- Efficient estimation of integrated volatility incorporating trading information
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- Inference for Continuous Semimartingales Observed at High Frequency
- Integrated volatility and round-off error
- Microstructure noise in the continuous case: the pre-averaging approach
- 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
- Statistical Properties of Microstructure Noise
- The econometrics of high-frequency data
Cited in
(20)- On estimating market microstructure noise variance
- Estimating the integrated volatility with tick observations
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
- Trading information, price discreteness, and volatility estimation
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Are volatility estimators robust with respect to modeling assumptions?
- Efficient estimation of integrated volatility incorporating trading information
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise
- Forecasting high-dimensional realized volatility matrices using a factor model
- Mean-variance portfolio selection for partially observed point processes
- Integrated volatility and round-off error
- Volatility measurement with pockets of extreme return persistence
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
- Disentangling Sources of High Frequency Market Microstructure Noise
- Jump detection in high-frequency order prices
- S\&P 500 microstructure noise components: empirical inferences from futures and ETF prices
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
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