On the estimation of integrated volatility in the presence of jumps and microstructure noise
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Publication:5861024
DOI10.1080/07474938.2020.1735751zbMATH Open1490.62311OpenAlexW3125799900MaRDI QIDQ5861024FDOQ5861024
Authors: Christian Brownlees, Yucheng Sun, Eulalia Nualart 
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2020.1735751
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jumpsmarket microstructure noiseintegrated volatilityrealized kernel estimatortwo-scales realized volatility estimator
Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
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Cited In (31)
- Nonparametric estimation of the integrated volatility of jump-diffusion processes with noisy high-frequency data
- Estimating the integrated volatility using high-frequency data with zero durations
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Ultra high frequency volatility estimation with dependent microstructure noise
- New theory of estimation of integrated volatility with applications.
- 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
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
- The econometrics of high-frequency data
- Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Spot volatility estimation for high-frequency data
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- Testing for jumps with robust spot volatility estimators
- On estimating the integrated co-volatility using noisy high-frequency data with jumps
- Volatility inference in the presence of both endogenous time and microstructure noise
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- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- Research on market microstructure model with nonhomogeneous Poisson jump based on UKF
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- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Estimation of volatility functions in jump diffusions using truncated bipower increments
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Detecting price jumps in the presence of market microstructure noise
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Likelihood theory for the graph Ornstein-Uhlenbeck process
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- A Tale of Two Time Scales
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
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