Trading information, price discreteness, and volatility estimation

DOI10.1016/J.JSPI.2022.02.001MaRDI QIDQ2123280zbMATH OpenOpenAlexFDO

Authors Yinfen Tang, Ye Peng, Zhiyuan Zhang

Publication date 8 April 2022

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2022.02.001

zbMATH Keywords

high-frequency datanonlinear least squaresparticle filtersprice discretenessstructural random noise

Mathematics Subject Classification ID

Statistics (62-XX)

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
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
• Are volatility estimators robust with respect to modeling assumptions?
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Efficient estimation of integrated volatility incorporating trading information
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Integrated volatility and round-off error
• Microstructure noise in the continuous case: the pre-averaging approach
• Nonlinear Regression on Cross-Section Data
• Quasi-maximum likelihood estimation of volatility with high frequency data
• The econometrics of high-frequency data

Cited in

(5)

• Handling missing prices in a thinly traded stock market: Implications for the specification of event study methods
• Asset pricing using trading volumes in a hidden regime-switching environment
• Corrigendum to “Trading and Information Diffusion in Over‐the‐Counter Markets”
• Estimating the Proportion of Informed Traders in BTC-USD Market Using Spread and Range
• scientific article; zbMATH DE number 6453480 (Why is no real title available?)

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