Noise reduced realized volatility: a Kalman filter approach

DOI10.1016/S0731-9053(05)20008-7MaRDI QIDQ3571968zbMATH OpenOpenAlexFDO

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

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)

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

Cited in

(5)

• A new robust Kalman filter for filtering the microstructure noise
• Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging
• 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)