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

DOI10.1016/J.JECONOM.2010.03.024MaRDI QIDQ737271zbMATH OpenOpenAlexFDO

Authors Jeff Fleming, Bradley S. Paye

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

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
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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
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Modeling and Forecasting Realized Volatility
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• 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
• Power Variation and Time Change
• Realized jumps on financial markets and predicting credit spreads
• Realized kernels in practise : trades and quotes
• Testing normality: a GMM approach
• The Distribution of Realized Exchange Rate Volatility
• Ultra high frequency volatility estimation with dependent microstructure noise

Cited in

(4)

• Effects of intervaling on high-frequency realized higher-order moments
• Normally distributed high-frequency returns: a subordination approach
• 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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