Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
From MaRDI portal
Publication:737273
DOI10.1016/J.JECONOM.2010.03.027zbMATH Open1441.62596OpenAlexW2061820889MaRDI QIDQ737273FDOQ737273
Authors: Federico M. Bandi, Jeffrey R. Russell 
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.2010.03.027
Recommendations
- Microstructure Noise, Realized Variance, and Optimal Sampling
- On estimating market microstructure noise variance
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Efficient estimation of integrated volatility incorporating trading information
- An unbiased measure of integrated volatility in the frequency domain
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Predicting volatility: getting the most out of return data sampled at different frequencies
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- 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
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- An Improved Formula for the Asymptotic Variance of Spectrum Estimates
- Causality effects in return volatility measures with random times
- Title not available (Why is that?)
- Realized volatility forecasting and option pricing
Cited In (28)
- Detecting factors of quadratic variation in the presence of market microstructure noise
- Moving Average-Based Estimators of Integrated Variance
- Realized Volatility: A Review
- High frequency market microstructure noise estimates and liquidity measures
- On estimating market microstructure noise variance
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Modelling microstructure noise with mutually exciting point processes
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
- Bias-corrected realized variance
- Optimal design of Fourier estimator in the presence of microstructure noise
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
- Volatility estimation and jump testing via realized information variation
- Microstructure noise in the continuous case: the pre-averaging approach
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Assessing the quality of volatility estimators via option pricing
- Measuring the relevance of the microstructure noise in financial data
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Data-based ranking of realised volatility estimators
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Bias-corrected realized variance under dependent microstructure noise
- Market Microstructure Invariance: Empirical Hypotheses
- Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise
This page was built for publication: Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q737273)
