Testing for jumps based on high-frequency data: a method exploiting microstructure noise
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Cites work
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- A Fourier transform method for nonparametric estimation of multivariate volatility
- A Tale of Two Time Scales
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- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimating the jump activity index under noisy observations using high-frequency data
- Estimation of quarticity with high-frequency data
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- High-frequency volatility of volatility estimation free from spot volatility estimates
- scientific article; zbMATH DE number 4073644 (Why is no real title available?)
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- Is Brownian motion necessary to model high-frequency data?
- Limit theorems for moving averages of discretized processes plus noise
- Microstructure noise in the continuous case: the pre-averaging approach
- Modeling high-frequency financial data by pure jump processes
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Resampling methods for dependent data
- Semimartingale: Itô or not ?
- Statistics and high-frequency data
- Testing and detecting jumps based on a discretely observed process
- Testing for jumps in a discretely observed process
- Testing for jumps in noisy high frequency data
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Testing for pure-jump processes for high-frequency data
Cited in
(25)- Effects of jumps and small noise in high-frequency financial econometrics
- The effect of infrequent trading on detecting price jumps
- Common price and volatility jumps in noisy high-frequency data
- Is a pure jump process fitting the high frequency data better than a jump-diffusion process?
- Model checks for the volatility under microstructure noise
- A Hausman test for the presence of market microstructure noise in high frequency data
- High-frequency jump tests: which test should we use?
- Testing for pure-jump processes for high-frequency data
- Testing the maximal rank of the volatility process for continuous diffusions observed with noise
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Testing for jumps in the presence of market microstructure noise
- Analyzing the fine structure of continuous time stochastic processes
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Rate-optimal tests for jumps in diffusion processes
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data
- Modeling high-frequency financial data by pure jump processes
- Unit root test with high-frequency data
- Detecting price jumps in the presence of market microstructure noise
- Jump detection with wavelets for high-frequency financial time series
- Testing for jumps in noisy high frequency data
- Jumps in equilibrium prices and market microstructure noise
- Jump detection in high-frequency financial data using wavelets
- Testing the volatility jumps based on the high frequency data
- High-frequency returns, jumps and the mixture of normals hypothesis
- Estimating the degree of activity of jumps in high frequency data
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