Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
From MaRDI portal
Publication:299254
DOI10.1016/J.JECONOM.2008.09.016zbMATH Open1429.62676OpenAlexW2090942229MaRDI QIDQ299254FDOQ299254
Authors: Ilze Kalnina, Oliver Linton 
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.016
Recommendations
- Consistent estimation in an implicit quadratic measurement error model
- scientific article; zbMATH DE number 3885144
- The quadratic inference functions in measurement error model for longitudinal data
- Covariate Measurement Error in Quadratic Regression
- scientific article; zbMATH DE number 6401342
- scientific article; zbMATH DE number 4028663
- Moment conditions for the quadratic regression model with measurement error
- scientific article; zbMATH DE number 1322306
- Mitigating the effect of measurement errors in quantile estimation
Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Title not available (Why is that?)
- Fitting time series models to nonstationary processes
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- 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
- A Tale of Two Time Scales
- Realized volatility forecasting and market microstructure noise
- Volatility forecasting and microstructure noise
- On the errors-in-variables problem for time series
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Continuous Auctions and Insider Trading
- Power Variation and Time Change
- Ultra high frequency volatility estimation with dependent microstructure noise
- Are volatility estimators robust with respect to modeling assumptions?
- A central limit theorem for m-dependent random variables with unbounded m
- Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard
- Information in Securities Markets: Kyle Meets Glosten and Milgrom
- Edgeworth expansions for realized volatility and related estimators
Cited In (47)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Functional modelling of volatility in the Swedish limit order book
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- The drift burst hypothesis
- Estimating the integrated volatility with tick observations
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Optimal design of Fourier estimator in the presence of microstructure noise
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
- Subsampling high frequency data
- Optimal restricted quadratic estimator of integrated volatility
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Subsampling realised kernels
- Realized volatility forecasting and option pricing
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Volatility analysis in high-frequency financial data
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- An unbiased measure of integrated volatility in the frequency domain
- Estimating quadratic variation when quoted prices change by a constant increment
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- The observed asymptotic variance: hard edges, and a regression approach
- Realized kernels in practise : trades and quotes
- Optimal nonparametric range-based volatility estimation
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- Nonparametric estimation for high-frequency data incorporating trading information
- Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard
- Inference for calendar effects in microstructure noise
- Local mispricing and microstructural noise: a parametric perspective
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Determining the integrated volatility via limit order books with multiple records
- Volatility inference in the presence of both endogenous time and microstructure noise
- Estimating spot volatility with high-frequency financial data
- On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect
- Data-based ranking of realised volatility estimators
- Stationary bootstrapping realized volatility under market microstructure noise
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- A simple joint model for returns, volatility and volatility of volatility
- Vast volatility matrix estimation for high-frequency financial data
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Inference from high-frequency data: a subsampling approach
This page was built for publication: Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q299254)
