Covariance measurement in the presence of non-synchronous trading and market microstructure noise

DOI10.1016/J.JECONOM.2010.03.015MaRDI QIDQ737261zbMATH OpenOpenAlexFDO

Authors J. E. Griffin, Roel C. A. Oomen

Publication date 10 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.03.015

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Tale of Two Time Scales
• Consistent estimation of covariation under nonsynchronicity
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Estimating covariation: Epps effect, microstructure noise
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• High-dimensional covariance forecasting for short intra-day horizons
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Microstructure noise in the continuous case: the pre-averaging approach
• Modeling and Forecasting Realized Volatility
• Modeling tick-by-tick realized correlations
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• On covariance estimation of non-synchronously observed diffusion processes
• Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
• Zero-intelligence realized variance estimation.

Cited in

(30)

• Detecting factors of quadratic variation in the presence of market microstructure noise
• Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
• On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
• Spot beta estimation with asynchronous noisy prices
• Volatility estimation based on high-frequency data
• High-frequency covariance estimates with noisy and asynchronous financial data
• Second-order asymptotic expansion for a non-synchronous covariation estimator
• Integrated volatility estimation: the case of observed noise variables
• Detecting discrete processes with the Epps effect
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Bias-correcting the realized range-based variance in the presence of market microstructure noise
• Modeling tick-by-tick realized correlations
• Bootstrapping realized multivariate volatility measures
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
• High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
• Irregular sampling and central limit theorems for power variations: the continuous case
• A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
• Efficient covariance estimation for asynchronous noisy high-frequency data
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
• Estimation of correlation between latent processes
• STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
• Confidence interval for correlation estimator between latent processes
• Fast convergence rates in estimating large volatility matrices using high-frequency financial data
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise
• ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
• Estimating covariation: Epps effect, microstructure noise
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Three-point approach for estimating integrated volatility and integrated covariance

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