Inference from high-frequency data: a subsampling approach
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Publication:515131
DOI10.1016/J.JECONOM.2016.07.010zbMATH Open1422.62308OpenAlexW3125292062MaRDI QIDQ515131FDOQ515131
Authors: 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
Recommendations
subsamplingmicrostructure noisestochastic volatilityhigh-frequency databipower variationpre-averagingpositive semi-definite estimation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Diffusion processes (60J60) Stochastic models in economics (91B70)
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Cited In (15)
- A universal approach to estimate the conditional variance in semimartingale limit theorems
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- A Gaussian calculus for inference from high frequency data
- Crawling subsampling for multivariate spatial autoregression model in large-scale networks
- Extracting information from mega‐panels and high‐frequency data
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- Assessment of uncertainty in high frequency data: the observed asymptotic variance
- Subsampling high frequency data
- Inference on common intraday periodicity at high frequencies
- Subsampling realised kernels
- Volatility estimation and jump testing via realized information variation
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- High-dimensional estimation of quadratic variation based on penalized realized variance
- Nonparametric Gaussian inference for stable processes
- An unbounded intensity model for point processes
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