Noise reduced realized volatility: a Kalman filter approach

DOI10.1016/S0731-9053(05)20008-7zbMATH Open1190.91163OpenAlexW1598822445MaRDI QIDQ3571968FDOQ3571968

Authors: John P. Owens, Douglas G. Steigerwald 

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0731-9053(05)20008-7

Recommendations

• A new robust Kalman filter for filtering the microstructure noise
• Volatility forecasting and microstructure noise
• Efficient asymptotic variance reduction when estimating volatility in high frequency data
• Realized volatility forecasting and market microstructure noise
• Microstructure Noise, Realized Variance, and Optimal Sampling

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (5)

• Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging
• A new robust Kalman filter for filtering the microstructure noise
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
• Data-based ranking of realised volatility estimators
• Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data

This page was built for publication: Noise reduced realized volatility: a Kalman filter approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3571968)