Statistical inferences for price staleness
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Publication:2190239
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A note on the central limit theorem for bipower variation of general functions
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Continuous Auctions and Insider Trading
- Discretization of processes.
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Estimating the integrated volatility using high-frequency data with zero durations
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Estimation of volatility functionals: the case of a \(\sqrt{n}\) window
- Excess idle time
- Financial Modelling with Jump Processes
- Fractional Brownian Motions, Fractional Noises and Applications
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Limit theorems for multipower variation in the presence of jumps
- Power and multipower variation: inference for high frequency data
- Quarticity and other functionals of volatility: efficient estimation
- Statistics and high-frequency data
Cited in
(10)- Dynamic Discrete Mixtures for High-Frequency Prices
- Excess idle time
- Jumps or Staleness?
- The Role of Binance in Bitcoin Volatility Transmission
- On the interday homogeneity in the intraday rate of trading
- Testing the Markov property with high frequency data
- A nonparametric threshold model with application to zero returns
- Measuring market efficiency: the Shannon entropy of high-frequency financial time series
- On Bivariate Time-Varying Price Staleness
- Volatility Estimation When the Zero-Process is Nonstationary
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