Statistics and high-frequency data
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(42)- Special feature: Statistics for high-frequency data
- Bias free threshold estimation for jump intensity function
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Truncated realized covariance when prices have infinite variation jumps
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- Testing for jumps and jump intensity path dependence
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- Volatility regressions with fat tails
- Drift burst test statistic in the presence of infinite variation jumps
- Measuring the relevance of the microstructure noise in financial data
- Convergence of extreme values of Poisson point processes at small times
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- Do price and volatility jump together?
- Nonparametric tests for pathwise properties of semimartingales
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
- Testing the local volatility assumption: a statistical approach
- Irregular sampling and central limit theorems for power variations: the continuous case
- Bias correction estimation for a continuous-time asset return model with jumps
- LAMN property for multivariate inhomogeneous diffusions with discrete observations
- Testing for the presence of jump components in jump diffusion models
- Econometrics of co-jumps in high-frequency data with noise
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Spot volatility estimation using delta sequences
- Determining the integrated volatility via limit order books with multiple records
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
- Efficient estimation for the volatility of stochastic interest rate models
- LAMN property for jump diffusion processes with discrete observations on a fixed time interval
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- Parametric inference for diffusions observed at stopping times
- Statistical inferences for price staleness
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Estimation of volatility functions in jump diffusions using truncated bipower increments
- Local asymptotic properties for the growth rate of a jump-type CIR process
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
- Bayesian inference for Heston-STAR models
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
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