Nonparametric estimation of jump characteristics under market microstructure noise
DOI10.1080/03610918.2015.1096382zbMATH Open1368.62270OpenAlexW2528789560MaRDI QIDQ4976548FDOQ4976548
Authors: Chao Yu, Xujie Zhao, Bo Zhang 
Publication date: 31 July 2017
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2015.1096382
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Microstructure noise in the continuous case: the pre-averaging approach
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- A Tale of Two Time Scales
- Testing for jumps in a discretely observed process
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Title not available (Why is that?)
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Jumps in equilibrium prices and market microstructure noise
- Mutual excitation in Eurozone sovereign CDS
- The European options hedge perfectly in a Poisson-Gaussian stock market model
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
Cited In (9)
- Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method
- Estimation for high-frequency data under parametric market microstructure noise
- Research on market microstructure model with nonhomogeneous Poisson jump based on UKF
- Title not available (Why is that?)
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Detecting price jumps in the presence of market microstructure noise
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