ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
From MaRDI portal
Publication:5741621
DOI10.1017/S0266466614000954zbMath1441.62779arXiv1302.5202OpenAlexW3122042789MaRDI QIDQ5741621
Publication date: 29 July 2016
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.5202
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
Inference for time-varying lead-lag relationships from ultra-high-frequency data ⋮ Common price and volatility jumps in noisy high-frequency data ⋮ Realized stochastic volatility with general asymmetry and long memory ⋮ Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading ⋮ BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE ⋮ Realized BEKK-CAW models ⋮ Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading ⋮ Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation ⋮ Estimation of volatility in a high-frequency setting: a short review ⋮ Estimation for high-frequency data under parametric market microstructure noise ⋮ On the estimation of integrated volatility in the presence of jumps and microstructure noise ⋮ The impact of jumps and leverage in forecasting covolatility ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Cites Work
- Unnamed Item
- Threshold selection in jump-discriminant filter for discretely observed jump processes
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- Testing for jumps in noisy high frequency data
- Subsampling high frequency data
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- New tests for jumps in semimartingale models
- Discretization of processes.
- Central limit theorems for realized volatility under hitting times of an irregular grid
- Nonsynchronous covariation process and limit theorems
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Estimating covariation: Epps effect, microstructure noise
- Causality effects in return volatility measures with random times
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Bipower-type estimation in a noisy diffusion setting
- Limit theorems for moving averages of discretized processes plus noise
- Realized volatility with stochastic sampling
- High frequency market microstructure noise estimates and liquidity measures
- On tail probabilities for martingales
- A general version of the fundamental theorem of asset pricing
- Fitting time series models to nonstationary processes
- On covariance estimation of non-synchronously observed diffusion processes
- Irregular sampling and central limit theorems for power variations: the continuous case
- Microstructure noise in the continuous case: the pre-averaging approach
- Volatility inference in the presence of both endogenous time and microstructure noise
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data
- Dynamic Hedging of Portfolio Credit Derivatives
- REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
- INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
- Realized kernels in practice: trades and quotes
- VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
- High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS