Nonparametric estimation of jump characteristics under market microstructure noise

DOI10.1080/03610918.2015.1096382MaRDI QIDQ4976548zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

thresholdmicrostructure noisehigh-frequency datapre-averagingjump characteristics

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• A Tale of Two Time Scales
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Jumps in equilibrium prices and market microstructure noise
• Microstructure noise in the continuous case: the pre-averaging approach
• Mutual excitation in Eurozone sovereign CDS
• NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Testing for jumps in a discretely observed process
• The European options hedge perfectly in a Poisson-Gaussian stock market model

Cited in

(9)

• Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method
• Detecting price jumps in the presence of market microstructure noise
• Estimation for high-frequency data under parametric market microstructure noise
• Research on market microstructure model with nonhomogeneous Poisson jump based on UKF
• scientific article; zbMATH DE number 7710538 (Why is no real title available?)
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
• Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
• Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data

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