Covariance measurement in the presence of non-synchronous trading and market microstructure noise
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Publication:737261
DOI10.1016/J.JECONOM.2010.03.015zbMATH Open1441.62710OpenAlexW3123021978MaRDI QIDQ737261FDOQ737261
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
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Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Estimating covariation: Epps effect, microstructure noise
- On covariance estimation of non-synchronously observed diffusion processes
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- Modeling tick-by-tick realized correlations
- Consistent estimation of covariation under nonsynchronicity
- Zero-intelligence realized variance estimation.
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- High-dimensional covariance forecasting for short intra-day horizons
Cited In (25)
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- 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
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Estimation of Correlation Between Latent Processes
- Modeling tick-by-tick realized correlations
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Volatility Estimation Based on High-Frequency Data
- Bootstrapping realized multivariate volatility measures
- High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
- Irregular sampling and central limit theorems for power variations: the continuous case
- Efficient covariance estimation for asynchronous noisy high-frequency data
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
- STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
- Confidence interval for correlation estimator between latent processes
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- 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
- Three-point approach for estimating integrated volatility and integrated covariance
- Estimating covariation: Epps effect, microstructure noise
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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