The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
From MaRDI portal
Publication:1739634
Recommendations
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- A Tale of Two Time Scales
- Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard
- Ultra high frequency volatility estimation with dependent microstructure noise
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Cites work
- A general version of the fundamental theorem of asset pricing
- A maximal inequality and dependent strong laws
- A Tale of Two Time Scales
- Assessment of uncertainty in high frequency data: the observed asymptotic variance
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Bipower-type estimation in a noisy diffusion setting
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Discretization of processes.
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimating covariation: Epps effect, microstructure noise
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Estimation of volatility functionals: the case of a \(\sqrt{n}\) window
- Fourier-Malliavin Volatility Estimation
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
- General Irreducible Markov Chains and Non-Negative Operators
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 45789 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- Inference for Continuous Semimartingales Observed at High Frequency
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- Inference for volatility-type objects and implications for hedging
- Limit distributions for the error in approximations of stochastic integrals
- Limit theorems for moving averages of discretized processes plus noise
- Microstructure noise in the continuous case: the pre-averaging approach
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- Quarticity and other functionals of volatility: efficient estimation
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Realized volatility when sampling times are possibly endogenous
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
- Strong invariance principles for dependent random variables
- The econometrics of high-frequency data
- The existence of absolutely continuous local martingale measures
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Ultra high frequency volatility estimation with dependent microstructure noise
- Volatility inference in the presence of both endogenous time and microstructure noise
Cited in
(11)- Editorial for the special issue on financial engineering and risk management for JoE
- A general property for time aggregation
- A CLT for second difference estimators with an application to volatility and intensity
- The observed asymptotic variance: hard edges, and a regression approach
- Robust covariance estimation with noisy high-frequency financial data
- The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Realized regression with asynchronous and noisy high frequency and high dimensional data
- High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
- High dimensional regression coefficient test with high frequency data
- Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise
This page was built for publication: The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1739634)
