Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
DOI10.1007/978-3-540-71297-8_25zbMATH Open1179.62149OpenAlexW71960692MaRDI QIDQ3646972FDOQ3646972
Yacine Aït-Sahalia, Per Aslak Mykland
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_25
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Point estimation (62F10) Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Portfolio theory (91G10)
Cited In (13)
- Detecting factors of quadratic variation in the presence of market microstructure noise
- On estimating market microstructure noise variance
- Multivariate elliptic processes
- Do price trajectory data increase the efficiency of market impact estimation?
- Ultra high frequency volatility estimation with dependent microstructure noise
- On the use of high frequency measures of volatility in MIDAS regressions
- Simple factor realized stochastic volatility models
- Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard
- Stationary bootstrapping realized volatility under market microstructure noise
- Detecting price jumps in the presence of market microstructure noise
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- A Tale of Two Time Scales
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise
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