High-frequency returns, jumps and the mixture of normals hypothesis

DOI10.1016/J.JECONOM.2010.03.024zbMATH Open1441.62684OpenAlexW3122467152MaRDI QIDQ737271FDOQ737271

Bradley S. Paye, Jeff Fleming

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.2010.03.024

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Mathematics Subject Classification ID

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

Cites Work

• Alternative models for stock price dynamics.
• The Distribution of Realized Exchange Rate Volatility
• 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
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales
• Asset pricing for general processes
• Testing normality: a GMM approach
• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
• Realized kernels in practise : trades and quotes
• Power Variation and Time Change
• 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
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Realized jumps on financial markets and predicting credit spreads

Cited In (3)

• Effects of intervaling on high-frequency realized higher-order moments
• Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
• Estimating stochastic volatility models using realized measures

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