Volatility and covariation estimation when microstructure noise and trading times are endogenous
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Publication:4906543
DOI10.1111/J.1467-9965.2010.00454.XzbMATH Open1278.91166OpenAlexW1854349910MaRDI QIDQ4906543FDOQ4906543
Authors: C. Y. Robert, Mathieu Rosenbaum 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00454.x
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martingalesmicrostructure noisevolatilitystopping timescovariationasynchronous dataendogenous trading timesultra high-frequency data
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70)
Cites Work
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- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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- A Tale of Two Time Scales
- Estimating covariation: Epps effect, microstructure noise
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- Are volatility estimators robust with respect to modeling assumptions?
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- Estimating quadratic variation when quoted prices change by a constant increment
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- Integrated volatility and round-off error
- Consistent estimation of covariation under nonsynchronicity
- Title not available (Why is that?)
- A new microstructure noise index
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
- Statistical properties of covariance estimator of microstructure noise: dependence, rare jumps and endogeneity
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Estimation of the realized (co-)volatility vector: large deviations approach
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- 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
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Volatility is rough
- Efficient estimation of integrated volatility incorporating trading information
- 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
- On Bid and Ask Side-Specific Tick Sizes
- Volatility inference in the presence of both endogenous time and microstructure noise
- 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
- ETF basket-adjusted covariance estimation
- Estimation of the instantaneous volatility
- Estimation of integrated quadratic covariation with endogenous sampling times
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Central limit theorems for realized volatility under hitting times of an irregular grid
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
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