Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
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Publication:522057
DOI10.1007/S00780-017-0325-7zbMATH Open1379.62061OpenAlexW2600017672MaRDI QIDQ522057FDOQ522057
Authors: Zhi Liu 
Publication date: 13 April 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-017-0325-7
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Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)
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Cited In (11)
- Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data
- Estimating the integrated volatility using high-frequency data with zero durations
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Volatility estimation and jump testing via realized information variation
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Jump-robust volatility estimation using dynamic dual-domain integration method
- Title not available (Why is that?)
- Are volatility estimators robust with respect to modeling assumptions?
- Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
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