Causality effects in return volatility measures with random times

DOI10.1016/j.jeconom.2010.03.036zbMath1441.62850OpenAlexW2049781928MaRDI QIDQ737283

Bas J. M. Werker, Eric Renault

Publication date: 10 August 2016

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

Full work available at URL: https://cdr.lib.unc.edu/downloads/4m90f455z

zbMATH Keywords

continuous time modelsGranger causalityultra-high frequency datainstantaneous causalitydurationsvolatility per trade

Mathematics Subject Classification ID

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

Related Items (17)

Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions ⋮ The Double Gaussian Approximation for High Frequency Data ⋮ Volatility inference in the presence of both endogenous time and microstructure noise ⋮ The dynamic mixed hitting-time model for multiple transaction prices and times ⋮ Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation ⋮ Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity ⋮ Time endogeneity and an optimal weight function in pre-averaging covariance estimation ⋮ ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS ⋮ Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations ⋮ Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading ⋮ The Estimation of Leverage Effect With High-Frequency Data ⋮ Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments ⋮ A CLT for second difference estimators with an application to volatility and intensity ⋮ Modeling and forecasting persistent financial durations ⋮ Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method ⋮ State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data

Cites Work

• Unnamed Item
• Asset pricing for general processes
• Closing the GARCH gap: Continuous time GARCH modeling
• Causality in temporal systems. Characterizations and a Survey
• Modeling the interdependence of volatility and inter-transaction duration processes.
• GARCH and irregularly spaced data
• Temporal aggregation of volatility models
• Equivalence of floating and fixed strike Asian and lookback options
• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Econometrics of Ultra-high-frequency Data
• Regression with Nonstationary Volatility
• Noncausality in Continuous Time
• The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
• Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
• A Tale of Two Time Scales

This page was built for publication: Causality effects in return volatility measures with random times