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)- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models
- A Gaussian calculus for inference from high frequency data
- High frequency market microstructure noise estimates and liquidity measures
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Moving Average-Based Estimators of Integrated Variance
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- Realized Volatility: A Review
- Refined Inference on Long Memory in Realized Volatility
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- Using High-Frequency Data in Dynamic Portfolio Choice
- Integration of CARMA processes and spot volatility modelling
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- On estimating market microstructure noise variance
- The influence of intraday seasonality on volatility transmission pattern
- Optimal sampling frequency for high frequency data using a finite mixture model
- Sequentiel testing for the stability of high-frequency portfolio betas
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- A Stochastic Volatility Model With Realized Measures for Option Pricing
- Estimating functions for noisy observations of ergodic diffusions
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- From zero to hero: realized partial (co)variances
- Realized volatility of index constituent stocks in Hong Kong
- Volatility estimation based on high-frequency data
- Exploiting the errors: a simple approach for improved volatility forecasting
- Edgeworth expansion for the pre-averaging estimator
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility
- Realised quantile-based estimation of the integrated variance
- Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
- Computation of volatility in stochastic volatility models with high frequency data
- The Volatility of Realized Volatility
- A generalized heterogeneous autoregressive model using market information
- Vast portfolio selection with gross-exposure constraints
- Conditional quantile analysis for realized GARCH models
- 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
- Volatility analysis with realized GARCH-Itô models
- Overnight GARCH-Itô Volatility Models
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Efficient estimation of integrated volatility functionals via multiscale jackknife
- Statistical inference for unified Garch-Itô models with high-frequency financial data
- Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
- Multiple STL decomposition in discovering a multi-seasonality of intraday trading volume
- Stochastic volatility and stochastic leverage
- Bootstrapping pre-averaged realized volatility under market microstructure noise
- Realised volatility and parametric estimation of Heston SDEs
- Asymptotic equivalence for inference on the volatility from noisy observations
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- Laws of large numbers for Hayashi-Yoshida-type functionals
- The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
- Central limit theorem for the realized volatility based on tick time sampling
- Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- Averaging of an increasing number of moment condition estimators
- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- VaR/CVaR estimation under stochastic volatility models
- Efficient estimation of drift parameters in stochastic volatility models
- Using information quality for volatility model combinations
- 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
- Parameter estimation for multiscale diffusions
- A multivariate volatility vine copula model
- Faster convergence to the estimation of quadratic variation with microstructure noise
- Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
- Occupation density estimation for noisy high-frequency data
- Learning about structural errors in models of complex dynamical systems
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
- Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Modelling microstructure noise with mutually exciting point processes
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Cryptocurrency volatility forecasting: what can we learn from the first wave of the COVID-19 outbreak?
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
- Realized regression with asynchronous and noisy high frequency and high dimensional data
- Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data
- Measuring volatility with the realized range
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Zero-intelligence realized variance estimation.
- Realized range-based estimation of integrated variance
- Consistent ranking of volatility models
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Estimating the integrated volatility with tick observations
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
- Bias-corrected realized variance
- Optimal design of Fourier estimator in the presence of microstructure noise
- Realized stochastic volatility with leverage and long memory
- One approach to the problem of nonparametric estimation in statistics of random processes based on the method of ill-posed problem
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- Estimating the integrated volatility using high-frequency data with zero durations
- Incorporating realized quarticity into a realized stochastic volatility model
- Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
- Modelling and forecasting noisy realized volatility
- Optimal kernel estimation of spot volatility of stochastic differential equations
- Drift estimation of multiscale diffusions based on filtered data
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