Statistical inferences for price staleness
From MaRDI portal
Publication:2190239
DOI10.1016/J.JECONOM.2020.01.021zbMATH Open1456.62250OpenAlexW2900901986MaRDI QIDQ2190239FDOQ2190239
Davide Pirino, Giulia Livieri, Aleksey Kolokolov
Publication date: 18 June 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/48376/SSRN-id3283628.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
Cites Work
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Financial Modelling with Jump Processes
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Fractional Brownian Motions, Fractional Noises and Applications
- Title not available (Why is that?)
- Discretization of processes.
- Quarticity and other functionals of volatility: efficient estimation
- Continuous Auctions and Insider Trading
- Estimating functions for diffusion-type processes
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Title not available (Why is that?)
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Limit theorems for multipower variation in the presence of jumps
- Title not available (Why is that?)
- Title not available (Why is that?)
- A note on the central limit theorem for bipower variation of general functions
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Estimation of Volatility Functionals: The Case of a $$\sqrt{n}$$ Window
- Estimating the integrated volatility using high-frequency data with zero durations
- EXcess Idle Time
Cited In (6)
- Volatility Estimation When the Zero-Process is Nonstationary
- The Role of Binance in Bitcoin Volatility Transmission
- On Bivariate Time-Varying Price Staleness
- Dynamic Discrete Mixtures for High-Frequency Prices
- Jumps or Staleness?
- Measuring market efficiency: the Shannon entropy of high-frequency financial time series
This page was built for publication: Statistical inferences for price staleness
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2190239)
