Estimating the integrated volatility with tick observations
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Publication:1739633
DOI10.1016/J.JECONOM.2018.09.006zbMATH Open1452.62771OpenAlexW3122291666WikidataQ129131177 ScholiaQ129131177MaRDI QIDQ1739633FDOQ1739633
Authors: Jean Jacod, Yingying Li, Xinghua Zheng 
Publication date: 26 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.09.006
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Cites Work
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Cited In (23)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- Central limit theorem for the realized volatility based on tick time sampling
- Editorial for the special issue on financial engineering and risk management for JoE
- Occupation density estimation for noisy high-frequency data
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Optimal restricted quadratic estimator of integrated volatility
- Causality effects in return volatility measures with random times
- New theory of estimation of integrated volatility with applications.
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Volatility Estimation with Price Quanta
- Volatility measurement with pockets of extreme return persistence
- G-M integrated type instantaneous volatility estimation
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous
- Inference for calendar effects in microstructure noise
- Estimation of volatility in a high-frequency setting: a short review
- Determining the integrated volatility via limit order books with multiple records
- Efficient estimation of integrated volatility functionals under general volatility dynamics
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- A CLT for second difference estimators with an application to volatility and intensity
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