Volatility estimation and jump testing via realized information variation
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Cites work
- Assessment of uncertainty in high frequency data: the observed asymptotic variance
- Bootstrapping Realized Volatility
- Edgeworth Corrections for Realized Volatility
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Estimating the integrated volatility using high-frequency data with zero durations
- Estimating variance from high, low and closing prices
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 3240796 (Why is no real title available?)
- Inference from high-frequency data: a subsampling approach
- Integrated volatility and round-off error
- Jump-robust volatility estimation using nearest neighbor truncation
- Jumps in equilibrium prices and market microstructure noise
- Limit theorems for multipower variation in the presence of jumps
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Measuring volatility with the realized range
- Microstructure noise in the continuous case: the pre-averaging approach
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Modeling and Forecasting Realized Volatility
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Realised quantile-based estimation of the integrated variance
- Realized range-based estimation of integrated variance
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
- Testing for jumps in a discretely observed process
- Testing for jumps in noisy high frequency data
- Testing for non-correlation between price and volatility jumps
- The bootstrap and Edgeworth expansion
- The speed of convergence of the threshold estimator of integrated variance
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Validity of Edgeworth expansions for realized volatility estimators
Cited in
(7)- Volatility estimation and jump detection for drift-diffusion processes
- Three-point approach for estimating integrated volatility and integrated covariance
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
- A robust neighborhood truncation approach to estimation of integrated quarticity
- A closed-form quasi-maximum likelihood estimator of bid-ask spread
- Jump-robust volatility estimation using nearest neighbor truncation
- Testing the volatility jumps based on the high frequency data
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