Volatility estimation based on high-frequency data
From MaRDI portal
Recommendations
- Estimating spot volatility with high-frequency financial data
- High-frequency volatility of volatility estimation free from spot volatility estimates
- Ultra high frequency volatility estimation with dependent microstructure noise
- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
- Data-based ranking of realised volatility estimators
Cites work
- A Tale of Two Time Scales
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Discrete sine transform for multi-scale realized volatility measures
- 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
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- scientific article; zbMATH DE number 1987697 (Why is no real title available?)
- scientific article; zbMATH DE number 3354425 (Why is no real title available?)
- Jump-robust volatility estimation using nearest neighbor truncation
- Limit theorems for bipower variation of semimartingales
- Limit theorems for multipower variation in the presence of jumps
- Measuring volatility with the realized range
- Modeling and Forecasting Realized Volatility
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- On Some Useful "Inefficient" Statistics
- Realised quantile-based estimation of the integrated variance
- Realized kernels in practise : trades and quotes
- Realized range-based estimation of integrated variance
- Realized Volatility: A Review
- Subsampling realised kernels
- The Asymptotic Distribution of the Range of Sums of Independent Random Variables
- Ultra high frequency volatility estimation with dependent microstructure noise
Cited in
(20)- Forecasting intraday volatility and value-at-risk with high-frequency data
- Estimation for high-frequency data under parametric market microstructure noise
- Estimating spot volatility with high-frequency financial data
- Assessing the quality of volatility estimators via option pricing
- Stationary bootstrapping realized volatility
- An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
- EWMA historical volatility estimators
- Sampling frequency and window length trade-offs in data-driven volatility estimation: appraising the accuracy of asymptotic approximations
- Model-based measurement of actual volatility in high-frequency data
- Stationary bootstrapping realized volatility under market microstructure noise
- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
- Firm's volatility risk under microstructure noise
- High-frequency volatility of volatility estimation free from spot volatility estimates
- Volatility Estimation with Price Quanta
- scientific article; zbMATH DE number 7338946 (Why is no real title available?)
- Assessing the performance of different volatility estimators: a Monte Carlo analysis
- Volatility estimation from short time series of stock prices
- On measuring volatility of diffusion processes with high frequency data
- A new look at variance estimation based on low, high and closing prices taking into account the drift
- On the use of high frequency measures of volatility in MIDAS regressions
This page was built for publication: Volatility estimation based on high-frequency data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3112466)
