On estimating the integrated co-volatility using noisy high-frequency data with jumps
From MaRDI portal
Publication:2864671
Recommendations
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Econometrics of co-jumps in high-frequency data with noise
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Efficient covariance estimation for asynchronous noisy high-frequency data
Cites work
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- A Tale of Two Time Scales
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Asymptotic properties of realized power variations and related functionals of semimartingales
- 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
- 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
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Financial Modelling with Jump Processes
- High-frequency covariance estimates with noisy and asynchronous financial data
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
- Is Brownian motion necessary to model high-frequency data?
- Limit theorems for moving averages of discretized processes plus noise
- Microstructure noise in the continuous case: the pre-averaging approach
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- On the estimation of integrated covariance matrices of high dimensional diffusion processes
- The Distribution of Realized Exchange Rate Volatility
- Ultra high frequency volatility estimation with dependent microstructure noise
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
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Statistical properties of covariance estimator of microstructure noise: dependence, rare jumps and endogeneity
- Estimating the jump activity index under noisy observations using high-frequency data
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- 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
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- 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
- Estimating covariation: Epps effect, microstructure noise
- Three-point approach for estimating integrated volatility and integrated covariance
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
This page was built for publication: On estimating the integrated co-volatility using noisy high-frequency data with jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2864671)
