A Tale of Two Time Scales
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Publication:5754906
DOI10.1198/016214505000000169zbMATH Open1117.62461OpenAlexW3095114851MaRDI QIDQ5754906FDOQ5754906
Authors: Lan Zhang, Per Aslak Mykland, Yacine Aït-Sahalia 
Publication date: 20 August 2007
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/016214505000000169
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Cited In (only showing first 100 items - show all)
- Integration of CARMA processes and spot volatility modelling
- A Gaussian calculus for inference from high frequency data
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- On estimating market microstructure noise variance
- Optimal sampling frequency for high frequency data using a finite mixture model
- Volatility estimation based on high-frequency data
- The Volatility of Realized Volatility
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility
- Realised quantile-based estimation of the integrated variance
- Bootstrapping pre-averaged realized volatility under market microstructure noise
- Central limit theorem for the realized volatility based on tick time sampling
- Parameter estimation for multiscale diffusions
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- Optimal kernel estimation of spot volatility of stochastic differential equations
- Modelling and forecasting noisy realized volatility
- Risk Minimization for a Filtering Micromovement Model of Asset Price
- Nonparametric estimation for stochastic volatility models
- Bayesian analysis of structural credit risk models with microstructure noises
- Modeling tick-by-tick realized correlations
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data
- Estimating the structural credit risk model when equity prices are contaminated by trading noises
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Robust inference of risks of large portfolios
- Trading-flow assisted estimation of the jump activity index
- Inference for the jump part of quadratic variation of Itô semimartingales
- Updating toward the signal
- Implied and realized volatility: empirical model selection
- A branching particle approximation to a filtering micromovement model of asset price
- Edgeworth expansions for realized volatility and related estimators
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Bootstrapping realized multivariate volatility measures
- Jumps in equilibrium prices and market microstructure noise
- Jump-robust volatility estimation using nearest neighbor truncation
- Efficient estimation of integrated volatility incorporating trading information
- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
- GARCH Model Estimation Using Estimated Quadratic Variation
- Modeling and forecasting exchange rate volatility in time-frequency domain
- Integrated volatility and round-off error
- Discrete sine transform for multi-scale realized volatility measures
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- An integrated cross-volatility estimation for asynchronous noisy data
- Efficient covariance estimation for asynchronous noisy high-frequency data
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- ANOVA for diffusions and Itō processes
- Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
- On estimating the integrated co-volatility using noisy high-frequency data with jumps
- A robust neighborhood truncation approach to estimation of integrated quarticity
- The estimation of leverage effect with high-frequency data
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
- Functional data analysis for volatility
- Filtering with marked point process observations via Poisson chaos expansion
- Stationary bootstrapping realized volatility under market microstructure noise
- Bias-corrected realized variance under dependent microstructure noise
- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- A martingale approach for testing diffusion models based on infinitesimal operator
- Vast volatility matrix estimation for high-frequency financial data
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Forecasting the volatility of crude oil futures using intraday data
- Nonparametric inference on Lévy measures and copulas
- Maximum likelihood estimation for small noise multiscale diffusions
- Activity signature functions for high-frequency data analysis
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- Estimation of stochastic volatility models by nonparametric filtering
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
- The double Gaussian approximation for high frequency data
- Modeling high-frequency financial data by pure jump processes
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- From zero to hero: realized partial (co)variances
- A central limit theorem for the functional estimation of the spot volatility
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Statistical inference for unified Garch-Itô models with high-frequency financial data
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Laws of large numbers for Hayashi-Yoshida-type functionals
- Averaging of an increasing number of moment condition estimators
- A multivariate volatility vine copula model
- Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- 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
- Occupation density estimation for noisy high-frequency data
- Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
- Estimating the integrated volatility using high-frequency data with zero durations
- Evolution of high-frequency systematic trading: a performance-driven gradient boosting model
- Drift estimation of multiscale diffusions based on filtered data
- Incorporating realized quarticity into a realized stochastic volatility model
- Estimation of the realized (co-)volatility vector: large deviations approach
- Forecasting and trading high frequency volatility on large indices
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- Estimation of a noisy subordinated Brownian motion via two-scales power variations
- Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
- Robust covariance estimation with noisy high-frequency financial data
- Convergence for slow discrete dynamical systems with identity linearization
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