Quasi-maximum likelihood estimation of volatility with high frequency data
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Cited in
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- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- Asymptotic normality of kernel density estimation for mixing high-frequency data
- When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
- High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
- Testing for jumps in noisy high frequency data
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- The double Gaussian approximation for high frequency data
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Conditional quantile analysis for realized GARCH models
- 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
- Statistical inference for unified Garch-Itô models with high-frequency financial data
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
- Local Parametric Estimation in High Frequency Data
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- On a spiked model for large volatility matrix estimation from noisy high-frequency data
- 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
- Quasi-maximum likelihood estimation for multiple volatility shifts
- Occupation density estimation for noisy high-frequency data
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- 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
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
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- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- Optimal restricted quadratic estimator of integrated volatility
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
- Quasi-maximum exponential likelihood estimation for non-stationary GARCH(1,1) models with high-frequency data
- Inference on common intraday periodicity at high frequencies
- Separating information maximum likelihood method for high-frequency financial data
- On the use of high frequency measures of volatility in MIDAS regressions
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- A rank test for the number of factors with high-frequency data
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Volatility models for stylized facts of high‐frequency financial data
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- Volatility analysis in high-frequency financial data
- An unbiased measure of integrated volatility in the frequency domain
- Quasi-maximum exponential likelihood estimators for GARCH models based on high frequency data
- Efficient estimation of integrated volatility incorporating trading information
- Robust covariance estimation with noisy high-frequency financial data
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- Adaptive quasi-maximum likelihood estimation of GARCH models with Student's \(t\) likelihood
- Trading information, price discreteness, and volatility estimation
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Volatility measurement with pockets of extreme return persistence
- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
- A new estimator of the self-similarity exponent through the empirical likelihood ratio test
- Large-dimensional factor modeling based on high-frequency observations
- Disentangling Sources of High Frequency Market Microstructure Noise
- Probabilistic models and statistics for electronic financial markets in the digital age
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
- Realized volatility when sampling times are possibly endogenous
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous
- The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
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- High-frequency-based volatility model with network structure
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- Estimation of volatility in a high-frequency setting: a short review
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- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Efficient estimation of integrated volatility and related processes
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Assessing the performance of different volatility estimators: a Monte Carlo analysis
- Volatility inference in the presence of both endogenous time and microstructure noise
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- Determining the integrated volatility via limit order books with multiple records
- Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data
- A Hausman test for the presence of market microstructure noise in high frequency data
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