Volatility and covariation estimation when microstructure noise and trading times are endogenous
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Publication:4906543
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Cites work
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 679591 (Why is no real title available?)
- A Tale of Two Time Scales
- A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
- A new microstructure noise index
- Are volatility estimators robust with respect to modeling assumptions?
- Consistent estimation of covariation under nonsynchronicity
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Diffusions with measurement errors. II. Optimal estimators
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimating covariation: Epps effect, microstructure noise
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Estimating quadratic variation when quoted prices change by a constant increment
- Estimators of diffusions with randomly spaced discrete observations: a general theory
- How often to sample a continuous-time process in the presence of market microstructure noise
- Integrated volatility and round-off error
- 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
- On covariance estimation of non-synchronously observed diffusion processes
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- The Econometrics of Ultra-high-frequency Data
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
Cited in
(29)- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Local Parametric Estimation in High Frequency Data
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Statistical properties of covariance estimator of microstructure noise: dependence, rare jumps and endogeneity
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- Estimation of the realized (co-)volatility vector: large deviations approach
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- Ultra high frequency volatility estimation with dependent microstructure noise
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Existence of endogenous sampling high frequency data
- Efficient estimation of integrated volatility incorporating trading information
- Volatility is rough
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Long versus short time scales: the rough dilemma and beyond
- Integrated volatility and round-off error
- Realized volatility when sampling times are possibly endogenous
- An integrated cross-volatility estimation for asynchronous noisy data
- Estimation for high-frequency data under parametric market microstructure noise
- Volatility inference in the presence of both endogenous time and microstructure noise
- On Bid and Ask Side-Specific Tick Sizes
- Estimation of the lead-lag parameter from non-synchronous data
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
- Estimation of the instantaneous volatility
- ETF basket-adjusted covariance estimation
- Estimation of integrated quadratic covariation with endogenous sampling times
- Central limit theorems for realized volatility under hitting times of an irregular grid
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
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