On estimating the integrated co-volatility using noisy high-frequency data with jumps
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Publication:2864671
DOI10.1080/03610926.2011.639974zbMATH Open1277.62254OpenAlexW2282154025MaRDI QIDQ2864671FDOQ2864671
Authors: Bing-Yi Jing, Cuixia Li, Zhi Liu 
Publication date: 26 November 2013
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.639974
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Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
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Cited In (25)
- Truncated realized covariance when prices have infinite variation jumps
- Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data
- Statistical properties of covariance estimator of microstructure noise: dependence, rare jumps and endogeneity
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- Estimating the jump activity index under noisy observations using high-frequency data
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- An integrated cross-volatility estimation for asynchronous noisy data
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Jump robust two time scale covariance estimation and realized volatility budgets
- Econometrics of co-jumps in high-frequency data with noise
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Nonparametric estimation of jump characteristics under market microstructure noise
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- Financial econometrics and big data: a survey of volatility estimators and tests for the presence of jumps and co-jumps
- Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
- Three-point approach for estimating integrated volatility and integrated covariance
- Estimating covariation: Epps effect, microstructure noise
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
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