Firm's volatility risk under microstructure noise

DOI10.1007/978-3-319-02499-8_5MaRDI QIDQ4561900zbMATH OpenOpenAlexFDO

Authors Flavia Barsotti, Simona Sanfelici

Publication date 13 December 2018

Published in Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02499-8_5

zbMATH Keywords

default probabilitycredit spreadmicrostructure effectequity pricetrading noise

Mathematics Subject Classification ID

Credit risk (91G40)

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Cites work

• A Tale of Two Time Scales
• 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
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Fourier series method for measurement of multivariate volatilities
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Microstructure noise in the continuous case: the pre-averaging approach
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• Subsampling realised kernels

Cited in

(2)

• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Stochastic equity volatility and the capital structure of the firm

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