The econometrics of high-frequency data
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Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)
Recommendations
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Cited in
(49)- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
- Testing for simultaneous jumps in case of asynchronous observations
- Estimation for high-frequency data under parametric market microstructure noise
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
- A CLT for second difference estimators with an application to volatility and intensity
- Asset selection based on high frequency Sharpe ratio
- Trading information, price discreteness, and volatility estimation
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- Estimation of a noisy subordinated Brownian motion via two-scales power variations
- Volatility inference in the presence of both endogenous time and microstructure noise
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- The observed asymptotic variance: hard edges, and a regression approach
- 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
- Integration of CARMA processes and spot volatility modelling
- Integer-valued Lévy processes and low latency financial econometrics
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Efficient estimation of integrated volatility and related processes
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Efficient estimation of integrated volatility incorporating trading information
- Estimating jump-diffusions using closed-form likelihood expansions
- scientific article; zbMATH DE number 5480761 (Why is no real title available?)
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- Nonparametric inference on Lévy measures and copulas
- Extracting information from mega‐panels and high‐frequency data
- Recent results in the theory and applications of CARMA processes
- Statistics and high-frequency data
- The estimation of leverage effect with high-frequency data
- Estimation of integrated quadratic covariation with endogenous sampling times
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- The relationship between the volatility of returns and the number of jumps in financial markets
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
- Realized regression with asynchronous and noisy high frequency and high dimensional data
- On the estimation of the jump activity index in the case of random observation times
- Nonparametric Bayesian volatility learning under microstructure noise
- Intraday Periodic Volatility Curves
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
- The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models
- Local Parametric Estimation in High Frequency Data
- High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
- High dimensional regression coefficient test with high frequency data
- Ole Eiler Barndorff-Nielsen and financial econometrics
- High frequency factor analysis with partially observable factors
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