Detecting factors of quadratic variation in the presence of market microstructure noise
DOI10.1007/S42081-020-00104-WzbMATH Open1477.62297OpenAlexW3127274554MaRDI QIDQ825352FDOQ825352
Naoto Kunitomo, Daisuke Kurisu
Publication date: 17 December 2021
Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42081-020-00104-w
Recommendations
- Spectral analysis of quadratic variation in the presence of market microstructure noise
- On estimating market microstructure noise variance
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Detecting price jumps in the presence of market microstructure noise
- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
- Measuring the relevance of the microstructure noise in financial data
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Testing for jumps in the presence of market microstructure noise
- Realized volatility forecasting and market microstructure noise
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
high-frequency financial dataquadratic variationmarket microstructure noiselimiting distributionscharacteristic roots and vectorshidden factors[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+semimartingales&go=Go It�� semimartingales]SIML estimation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Financial Modelling with Jump Processes
- Title not available (Why is that?)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Title not available (Why is that?)
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Discretization of processes.
- TESTS OF RANK
- Fourier series method for measurement of multivariate volatilities
- Econometrics of co-jumps in high-frequency data with noise
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Order estimation in ARMA-models by Lagrangian multiplier tests
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Multivariate Statistics
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Title not available (Why is that?)
- Estimating linear statistical relationships
- Introduction to Time Series Modeling
- Jump Regressions
- Stable Convergence and Stable Limit Theorems
- Separating information maximum likelihood method for high-frequency financial data
- Adaptive estimation of continuous-time regression models using high-frequency data
- Testing the maximal rank of the volatility process for continuous diffusions observed with noise
- A test for the rank of the volatility process: the random perturbation approach
- Fourier-Malliavin Volatility Estimation
- Power Variations and Testing for Co‐Jumps: The Small Noise Approach
- Principal Component Analysis of High-Frequency Data
- A robust-filtering method for noisy non-stationary multivariate time series with econometric applications
Cited In (4)
This page was built for publication: Detecting factors of quadratic variation in the presence of market microstructure noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q825352)
