Testing for jumps in noisy high frequency data
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Cites work
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
- A Tale of Two Time Scales
- Are volatility estimators robust with respect to modeling assumptions?
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimating the degree of activity of jumps in high frequency data
- Limit theorems for moving averages of discretized processes plus noise
- Microstructure noise in the continuous case: the pre-averaging approach
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Testing for jumps in a discretely observed process
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
Cited in
(49)- Model checks for the volatility under microstructure noise
- Stock co-jump networks
- A Hausman test for the presence of market microstructure noise in high frequency data
- Tests for Jumps in Yield Spreads
- Testing for jumps in the presence of market microstructure noise
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise
- Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method
- Estimating the integrated volatility with tick observations
- Testing for mutually exciting jumps and financial flights in high frequency data
- Overnight GARCH-Itô Volatility Models
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Volatility models for stylized facts of high‐frequency financial data
- Occupation density estimation for noisy high-frequency data
- On the estimation of integrated volatility in the presence of jumps and microstructure noise
- The drift burst hypothesis
- The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients
- Effects of jumps and small noise in high-frequency financial econometrics
- Volatility analysis with realized GARCH-Itô models
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes
- Testing for jumps with robust spot volatility estimators
- Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Detecting price jumps in the presence of market microstructure noise
- Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
- Comment on article by Windle and Carvalho
- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- High-frequency jump tests: which test should we use?
- The impact of jumps and leverage in forecasting covolatility
- Volatility estimation and jump testing via realized information variation
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Review of statistical approaches for modeling high-frequency trading data
- Testing for the presence of jump components in jump diffusion models
- Testing for self-excitation in jumps
- Estimating the degree of activity of jumps in high frequency data
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
- Inference from high-frequency data: a subsampling approach
- Parametric inference for discretely observed subordinate diffusions
- Econometrics of co-jumps in high-frequency data with noise
- Intraday Periodic Volatility Curves
- Testing the volatility jumps based on the high frequency data
- High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Robust score and portmanteau tests of volatility spillover
- Bootstrapping high-frequency jump tests
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