Firm's volatility risk under microstructure noise
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Publication:4561900
DOI10.1007/978-3-319-02499-8_5zbMATH Open1418.91562OpenAlexW965891867MaRDI QIDQ4561900FDOQ4561900
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
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Cites Work
- Microstructure noise in the continuous case: the pre-averaging approach
- 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
- A Tale of Two Time Scales
- Fourier series method for measurement of multivariate volatilities
- MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
- Subsampling realised kernels
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Estimating the structural credit risk model when equity prices are contaminated by trading noises
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
Cited In (2)
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