Inference from high-frequency data: a subsampling approach
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Publication:515131
DOI10.1016/j.jeconom.2016.07.010zbMath1422.62308OpenAlexW3125292062MaRDI QIDQ515131
N. Thamrongrat, Mark Podolskij, Kim Christensen, Bezirgen Veliyev
Publication date: 10 March 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/135886974/Christensen_2017_Inference_from_high_frequency_data.pdf
stochastic volatilityhigh-frequency datasubsamplingmicrostructure noisebipower variationpre-averagingpositive semi-definite estimation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Diffusion processes (60J60)
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A universal approach to estimate the conditional variance in semimartingale limit theorems ⋮ Inference for time-varying lead-lag relationships from ultra-high-frequency data ⋮ Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas ⋮ High-dimensional estimation of quadratic variation based on penalized realized variance ⋮ Crawling subsampling for multivariate spatial autoregression model in large-scale networks ⋮ Volatility Estimation and Jump Testing via Realized Information Variation ⋮ Nonparametric Gaussian inference for stable processes
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