Realized volatility when sampling times are possibly endogenous
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- A Tale of Two Time Scales
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- ANOVA for diffusions and Itō processes
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Bartlett type identities for martingales
- Central limit theorem for the realized volatility based on tick time 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
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimating covariation: Epps effect, microstructure noise
- Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
- GARCH and irregularly spaced data
- Implied Probabilities in GMM Estimators
- Inference for Continuous Semimartingales Observed at High Frequency
- Irregular sampling and central limit theorems for power variations: the continuous case
- Limit distributions for the error in approximations of stochastic integrals
- Microstructure noise in the continuous case: the pre-averaging approach
- Mixed hitting-time models
- Modeling the interdependence of volatility and inter-transaction duration processes.
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
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- On the microstructural hedging error
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- Realized volatility with stochastic sampling
- The Econometrics of Ultra-high-frequency Data
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
Cited in
(47)- Central limit theorem for the realized volatility based on tick time sampling
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Estimating the integrated volatility with tick observations
- Estimating the integrated volatility using high-frequency data with zero durations
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- Asymptotic properties of the realized skewness and related statistics
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- Testing for jumps and jump intensity path dependence
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
- Realized volatility with stochastic sampling
- Existence of endogenous sampling high frequency data
- Efficient estimation of integrated volatility incorporating trading information
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
- A two-step estimation of diffusion processes using noisy observations
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous
- Jumps or Staleness?
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Reprint of: Nonparametric estimation for high-frequency data incorporating trading information
- Testing for jumps in a discretely observed price process with endogenous sampling times
- Bumvu estimators
- Realized drift
- Robust estimation of integrated and spot volatility
- Nonparametric estimation for high-frequency data incorporating trading information
- Estimation for high-frequency data under parametric market microstructure noise
- High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
- A note on the limit theorems for hitting times of path-dependent functionals of Itô semimartingales
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Efficient estimation of integrated volatility and related processes
- On Integrated Volatility of Itô Semimartingales when Sampling Times are Endogenous
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Volatility inference in the presence of both endogenous time and microstructure noise
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- Parametric inference for diffusions observed at stopping times
- Estimation of integrated quadratic covariation with endogenous sampling times
- Central limit theorems for realized volatility under hitting times of an irregular grid
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
- A CLT for second difference estimators with an application to volatility and intensity
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
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