Nonparametric estimation for high-frequency data incorporating trading information
From MaRDI portal
Publication:6199631
DOI10.1016/j.jeconom.2024.105690OpenAlexW4391896037MaRDI QIDQ6199631
No author found.
Publication date: 21 March 2024
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2024.105690
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Unnamed Item
- Unnamed Item
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Efficient estimation of integrated volatility incorporating trading information
- ANOVA for diffusions and Itō processes
- Some new asymptotic theory for least squares series: pointwise and uniform results
- Estimation of integrated quadratic covariation with endogenous sampling times
- User-friendly tail bounds for sums of random matrices
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Ultra high frequency volatility estimation with dependent microstructure noise
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Series estimation under cross-sectional dependence
- On tail probabilities for martingales
- A general version of the fundamental theorem of asset pricing
- Convergence rates and asymptotic normality for series estimators
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Optimal global rates of convergence for nonparametric regression
- A note on ``Convergence rates and asymptotic normality for series estimators: uniform convergence rates
- Estimation for high-frequency data under parametric market microstructure noise
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- Microstructure noise in the continuous case: the pre-averaging approach
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Statistical Properties of Microstructure Noise
- A ReMeDI for Microstructure Noise
- Financial Econometrics
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- A Tale of Two Time Scales
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
