scientific article; zbMATH DE number 6324332
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(only showing first 100 items - show all)- The econometrics of sequential trade models. Theory and applications using high frequency data.
- Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
- Effects of jumps and small noise in high-frequency financial econometrics
- Common price and volatility jumps in noisy high-frequency data
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Semimartingale: Itô or not ?
- `Purposely misspecified' posterior inference on the volatility of a jump diffusion process
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Large-dimensional factor modeling based on high-frequency observations
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- Testing for simultaneous jumps in case of asynchronous observations
- Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Laws of large numbers for Hayashi-Yoshida-type functionals
- The self-financing equation in limit order book markets
- A Hausman test for the presence of market microstructure noise in high frequency data
- A rank test for the number of factors with high-frequency data
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
- Optimal iterative threshold-kernel estimation of jump diffusion processes
- Continuous record Laplace-based inference about the break date in structural change models
- Volatility coupling
- A weak law of large numbers for realised covariation in a Hilbert space setting
- A CLT for second difference estimators with an application to volatility and intensity
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- The LAN property for McKean-Vlasov models in a mean-field regime
- Occupation density estimation for noisy high-frequency data
- Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
- Optimal estimation of the supremum and occupation times of a self-similar Lévy process
- Bias-optimal vol-of-vol estimation: the role of window overlapping
- Testing the eigenvalue structure of spot and integrated covariance
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Local mispricing and microstructural noise: a parametric perspective
- Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- Optimal kernel estimation of spot volatility of stochastic differential equations
- Estimation of state-dependent jump activity and drift for Markovian semimartingales
- High frequency traders and the price process
- Statistical inferences for price staleness
- Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem
- High-frequency analysis of parabolic stochastic PDEs
- A simple R-estimation method for semiparametric duration models
- Uniform nonparametric inference for time series
- From tick data to semimartingales
- Superposition of COGARCH processes
- Estimation of the stochastic leverage effect using the Fourier transform method
- Change-point inference on volatility in noisy Itô semimartingales
- Estimation of volatility in a high-frequency setting: a short review
- Chasing volatility. A persistent multiplicative error model with jumps
- Nonparametric spot volatility from options
- Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
- High-frequency factor models and regressions
- Asymptotic properties of the realized skewness and related statistics
- Editorial: Big data in dynamic predictive econometric modeling
- On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
- Simultaneous multivariate Hawkes-type point processes and their application to financial markets
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- Estimation of the realized (co-)volatility vector: large deviations approach
- Estimation of a noisy subordinated Brownian motion via two-scales power variations
- Lévy-driven Volterra equations in space and time
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
- Asymptotic properties of correlation-based principal component analysis
- Drift estimation of multiscale diffusions based on filtered data
- Identifying latent factors based on high-frequency data
- The effect of intraday periodicity on realized volatility measures
- Handbook of high-frequency trading and modeling in finance
- Market microstructure and nonlinear dynamics. Keeping financial crisis in context
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Efficient estimation of integrated volatility incorporating trading information
- Wavelet-based methods for high-frequency lead-lag analysis
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
- Price impact and bursts in liquidity provision
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Profiling high-frequency equity price movements in directional changes
- On the asymptotic structure of Brownian motions with a small lead-lag effect
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- Backward stochastic Volterra integral equations with jumps in a general filtration
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
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- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- Mean-variance portfolio selection for partially observed point processes
- Estimating fast mean-reverting jumps in electricity market models
- Efficient simulation of Lévy-driven point processes
- Principal Component Analysis of High-Frequency Data
- Bootstrapping high-frequency jump tests
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
- Asymmetric COGARCH processes
- High-frequency trading and probability theory
- The matrix product approximation for the dynamic cavity method
- Sparse change-point HAR models for realized variance
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Unified signature cumulants and generalized Magnus expansions
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