Causality effects in return volatility measures with random times
DOI10.1016/J.JECONOM.2010.03.036zbMATH Open1441.62850OpenAlexW2049781928MaRDI QIDQ737283FDOQ737283
Authors: 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
Recommendations
Granger causalityultra-high frequency datainstantaneous causalitycontinuous time modelsdurationsvolatility per trade
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Closing the GARCH gap: Continuous time GARCH modeling
- 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
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- The Econometrics of Ultra-high-frequency Data
- 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
- Asset pricing for general processes
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Causality in temporal systems. Characterizations and a Survey
- Temporal aggregation of volatility models
- Regression with Nonstationary Volatility
- Noncausality in Continuous Time
- GARCH and irregularly spaced data
- Equivalence of floating and fixed strike Asian and lookback options
- Title not available (Why is that?)
Cited In (21)
- Causalities of the Taiwan stock market
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Inventory Effects on Daily Returns in Financial Markets
- Modeling and forecasting persistent financial durations
- 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
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Time-dependent relations between gaps and returns in a bitcoin order book
- Time-dependent complexity measurement of causality in international equity markets: a spatial approach
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Volatility inference in the presence of both endogenous time and microstructure noise
- The dynamic mixed hitting-time model for multiple transaction prices and times
- The estimation of leverage effect with high-frequency data
- State heterogeneity analysis of financial volatility using high-frequency financial data
- 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
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- The double Gaussian approximation for high frequency data
- 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)
