Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
From MaRDI portal
Publication:605016
DOI10.3150/08-BEJ167zbMATH Open1200.62131arXiv0909.0827MaRDI QIDQ605016FDOQ605016
Authors: Mark Podolskij, Mathias Vetter 
Publication date: 12 November 2010
Published in: Bernoulli (Search for Journal in Brave)
Abstract: We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower variation is proven. Under further assumptions we prove stable convergence of our estimates with the optimal rate . Moreover, we construct estimates which are robust to finite activity jumps.
Full work available at URL: https://arxiv.org/abs/0909.0827
Recommendations
- Bipower-type estimation in a noisy diffusion setting
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
- Microstructure noise in the continuous case: the pre-averaging approach
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
central limit theoremsubsamplingmicrostructure noisehigh-frequency dataintegrated volatilitybipower variationfinite activity jumpssemimartingale theory
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48)
Cites Work
- Title not available (Why is that?)
- The Distribution of Realized Exchange Rate Volatility
- Microstructure noise in the continuous case: the pre-averaging approach
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- A Tale of Two Time Scales
- Testing for jumps in a discretely observed process
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Diffusions with measurement errors. II. Optimal estimators
- Title not available (Why is that?)
- On covariance estimation of non-synchronously observed diffusion processes
- Realized range-based estimation of integrated variance
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- On mixing and stability of limit theorems
- Limit theorems for multipower variation in the presence of jumps
- Power and multipower variation: inference for high frequency data
Cited In (only showing first 100 items - show all)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Volatility estimation based on high-frequency data
- 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
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Near-optimal estimation of jump activity in semimartingales
- Asymptotic equivalence for inference on the volatility from noisy observations
- Modelling microstructure noise with mutually exciting point processes
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- A bootstrap test for jumps in financial economics
- Model checks for the volatility under microstructure noise
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- A local Gaussian bootstrap method for realized volatility and realized beta
- Ultra high frequency volatility estimation with dependent microstructure noise
- Bipower-type estimation in a noisy diffusion setting
- Microstructure noise in the continuous case: the pre-averaging approach
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Limit theorems for moving averages of discretized processes plus noise
- 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
- Central limit theorems for the non-parametric estimation of time-changed Lévy models
- Edgeworth expansions for realized volatility and related estimators
- Estimating quadratic variation when quoted prices change by a constant increment
- Jumps in equilibrium prices and market microstructure noise
- Jump-robust volatility estimation using nearest neighbor truncation
- Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
- Efficient estimation of integrated volatility incorporating trading information
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- Integrated volatility and round-off error
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- Jump detection with wavelets for high-frequency financial time series
- Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
- Variance dynamics: joint evidence from options and high-frequency returns
- New tests for jumps in semimartingale models
- A note on the central limit theorem for bipower variation of general functions
- Estimation of volatility in a high-frequency setting: a short review
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
- Study of some problems of statistical estimation in finance.
- 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
- A robust neighborhood truncation approach to estimation of integrated quarticity
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Nonparametric estimation of jump characteristics under market microstructure noise
- Title not available (Why is that?)
- Are volatility estimators robust with respect to modeling assumptions?
- Estimation of correlation for continuous semimartingales
- Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Inference from high-frequency data: a subsampling approach
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- 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
- Estimating covariation: Epps effect, microstructure noise
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Modeling high-frequency financial data by pure jump processes
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
- Edgeworth expansion for the pre-averaging estimator
- High-frequency jump tests: which test should we use?
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
- Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
- Estimating the integrated volatility using high-frequency data with zero durations
- Asymptotic properties of the realized skewness and related statistics
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- Testing for jumps and jump intensity path dependence
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- Strong consistency of the kernel estimator of spot volatility for diffusion process
- Estimation of a noisy subordinated Brownian motion via two-scales power variations
- Volatility estimation and jump testing via realized information variation
- On the complete consistency of the kernel estimator of spot volatility
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Measuring the relevance of the microstructure noise in financial data
- Parametric estimation for discretely observed stochastic processes with jumps
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- On the convergence of two types of estimators of quadratic variation
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
- On Estimation of Hurst Parameter Under Noisy Observations
- Tests for Jumps in Yield Spreads
- Global jump filters and quasi-likelihood analysis for volatility
This page was built for publication: Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q605016)
