Causality effects in return volatility measures with random times
From MaRDI portal
(Redirected from Publication:737283)
Recommendations
Cites work
- scientific article; zbMATH DE number 1487969 (Why is no real title available?)
- A Tale of Two Time Scales
- Asset pricing for general processes
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Causality in temporal systems. Characterizations and a Survey
- Closing the GARCH gap: Continuous time GARCH modeling
- 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
- Equivalence of floating and fixed strike Asian and lookback options
- Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
- GARCH and irregularly spaced data
- GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Noncausality in Continuous Time
- Regression with Nonstationary Volatility
- Temporal aggregation of volatility models
- The Econometrics of Ultra-high-frequency Data
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
Cited in
(21)- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
- The estimation of leverage effect with high-frequency data
- Causalities of the Taiwan stock market
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Time-dependent relations between gaps and returns in a bitcoin order book
- Inventory Effects on Daily Returns in Financial Markets
- State heterogeneity analysis of financial volatility using high-frequency financial data
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Modeling and forecasting persistent financial durations
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
- Time-dependent complexity measurement of causality in international equity markets: a spatial approach
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Volatility inference in the presence of both endogenous time and microstructure noise
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- The dynamic mixed hitting-time model for multiple transaction prices and times
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- The double Gaussian approximation for 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
This page was built for publication: Causality effects in return volatility measures with random times
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q737283)