Subsampling realised kernels
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Cites work
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
- A Tale of Two Time Scales
- ANOVA for diffusions and Itō processes
- BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
- 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 quadratic variation consistently in the presence of endogenous and diurnal measurement error
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Microstructure Noise, Realized Variance, and Optimal Sampling
- PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
- Subsampling
- The Distribution of Realized Exchange Rate Volatility
- The jackknife and the bootstrap for general stationary observations
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Ultra high frequency volatility estimation with dependent microstructure noise
Cited in
(24)- Realized Volatility: A Review
- Volatility estimation based on high-frequency data
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Firm's volatility risk under microstructure noise
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Subsampling high frequency data
- scientific article; zbMATH DE number 7660124 (Why is no real title available?)
- On the use of high frequency measures of volatility in MIDAS regressions
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- Assessing the quality of volatility estimators via option pricing
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- An unbiased measure of integrated volatility in the frequency domain
- Edgeworth expansions for realized volatility and related estimators
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
- Realized kernels in practise : trades and quotes
- Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- On the sum of two subnormal kernels
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- A Markov chain estimator of multivariate volatility from high frequency data
- Subsampling the distribution of diverging statistics with applications to finance
- Inference from high-frequency data: a subsampling approach
- Estimating covariation: Epps effect, microstructure noise
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