Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
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- A Note on Quantiles in Large Samples
- A Tale of Two Time Scales
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A general version of the fundamental theorem of asset pricing
- A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
- A robust neighborhood truncation approach to estimation of integrated quarticity
- ANOVA for diffusions and Itō processes
- Adaptive maximum likelihood estimators of a location parameter
- Asymptotic Approximations to Distributions
- Asymptotic equivalence for inference on the volatility from noisy observations
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Asymptotic methods in statistical decision theory
- Asymptotic properties of estimators of a location parameter
- Asymptotics in statistics. Some basic concepts.
- Bartlett type identities for martingales
- Bipower-type estimation in a noisy diffusion setting
- Bootstrapping Realized Volatility
- Bootstrapping realized multivariate volatility measures
- Breakdown properties of location estimates based on halfspace depth and projected outlyingness
- CUMULANTS AND PARTITION LATTICES1
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
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- Diffusions with measurement errors. II. Optimal estimators
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- Do price and volatility jump together?
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- 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
- Estimating covariation: Epps effect, microstructure noise
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Fisher's Information for Discretely Sampled Lvy Processes
- Implied and realized volatility: empirical model selection
- Inference for Continuous Semimartingales Observed at High Frequency
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- Inference for volatility-type objects and implications for hedging
- Jump-robust volatility estimation using nearest neighbor truncation
- Jumps in equilibrium prices and market microstructure noise
- Limit distributions for the error in approximations of stochastic integrals
- Limit theorems for moving averages of discretized processes plus noise
- Long memory in continuous-time stochastic volatility models
- Measuring downside risk -- realized semivariance
- Microstructure noise in the continuous case: the pre-averaging approach
- Modeling and Forecasting Realized Volatility
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On a Geometric Notion of Quantiles for Multivariate Data
- On a notion of data depth based on random simplices
- On mixing and stability of limit theorems
- On the jump activity index for semimartingales
- On the validity of the formal Edgeworth expansion
- Partial likelihood
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Probability approximations via the Poisson clumping heuristic
- Quarticity and other functionals of volatility: efficient estimation
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Regression Quantiles
- Robust Statistics
- Saddlepoint approximations
- Stochastic Volatility: Origins and Overview
- Subsampling high frequency data
- Testing for jumps in a discretely observed process
- The Distribution of Realized Exchange Rate Volatility
- The bootstrap and Edgeworth expansion
- The calculation of cumulants via conditioning
- The double Gaussian approximation for high frequency data
- The econometrics of high-frequency data
- The estimation of leverage effect with high-frequency data
- The existence of absolutely continuous local martingale measures
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Theory of partial likelihood
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- Volatility estimators for discretely sampled Lévy processes
Cited in
(13)- Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Testing for mutually exciting jumps and financial flights in high frequency data
- Robust covariance estimation with noisy high-frequency financial data
- Probabilistic models and statistics for electronic financial markets in the digital age
- The observed asymptotic variance: hard edges, and a regression approach
- Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method
- Jump detection in high-frequency order prices
- Ole Eiler Barndorff-Nielsen and financial econometrics
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Large deviation principles of realized Laplace transform of volatility
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
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