A Tale of Two Time Scales
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Publication:5754906
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Cited in
(only showing first 100 items - show all)- High frequency market microstructure noise estimates and liquidity measures
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
- Volatility analysis with realized GARCH-Itô models
- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- Forecasting realized volatility: a review
- Realized stochastic volatility with leverage and long memory
- Optimal design of Fourier estimator in the presence of microstructure noise
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- On the systematic and idiosyncratic volatility with large panel high-frequency data
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- On estimating market microstructure noise variance
- Inference in continuous systems with mildly explosive regressors
- Mixed-scale jump regressions with bootstrap inference
- Stock markets fragmentation, volatility and final investors
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
- Asymptotic inference about predictive accuracy using high frequency data
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Large-dimensional factor modeling based on high-frequency observations
- Estimating the integrated volatility with tick observations
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Optimum thresholding using mean and conditional mean squared error
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Structured volatility matrix estimation for non-synchronized high-frequency financial data
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Estimating the integrated volatility using high-frequency data with zero durations
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Non-parametric estimation of the diffusion coefficient from noisy data
- Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
- Model checks for the volatility under microstructure noise
- Forecasting intraday volatility and value-at-risk with high-frequency data
- Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
- Estimation of the lead-lag parameter from non-synchronous data
- Laws of large numbers for Hayashi-Yoshida-type functionals
- 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
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Incorporating realized quarticity into a realized stochastic volatility model
- 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
- Estimation for high-frequency data under parametric market microstructure noise
- New formulations of ambiguous volatility with an application to optimal dynamic contracting
- New evidence on market response to public announcements in the presence of microstructure noise
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- Inference on common intraday periodicity at high frequencies
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- Comparing unconstrained parametrization methods for return covariance matrix prediction
- Convergence for slow discrete dynamical systems with identity linearization
- 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
- From zero to hero: realized partial (co)variances
- On consistency and sparsity for high-dimensional functional time series with application to autoregressions
- Occupation density estimation for noisy high-frequency data
- Trading information, price discreteness, and volatility estimation
- Equity clusters through the lens of realized semicorrelations
- Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions
- Bias-optimal vol-of-vol estimation: the role of window overlapping
- Estimation of tempered stable Lévy models of infinite variation
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Local mispricing and microstructural noise: a parametric perspective
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- Variance risk: a bird's eye view
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- Optimal kernel estimation of spot volatility of stochastic differential equations
- Convergence on two dimensional 1-slow discrete dynamical systems
- High frequency traders and the price process
- Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
- Volatility regressions with fat tails
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- Specification test for Markov models with measurement errors
- Forecasting the volatility of crude oil futures using intraday data
- Change-point inference on volatility in noisy Itô semimartingales
- Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods
- A stochastic control model for the average price of manufacturer sales on commodity exchanges
- Estimation of volatility in a high-frequency setting: a short review
- A realized volatility approach to option pricing with continuous and jump variance components
- Nonparametric filtering of conditional state-price densities
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Confidence interval for correlation estimator between latent processes
- High-dimensional multivariate realized volatility estimation
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Spot volatility estimation using delta sequences
- Econometrics of co-jumps in high-frequency data with noise
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Smile from the past: a general option pricing framework with multiple volatility and leverage components
- Forecasting time series with multivariate copulas
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- Parameter estimation for multiscale diffusions
- Vast volatility matrix estimation for high-frequency financial data
- Comment: A selective overview of nonparametric methods in financial econometrics
- A Fourier transform method for nonparametric estimation of multivariate volatility
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