Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Year of publication: |
2024
|
---|---|
Authors: | Liu, Qiang ; Liu, Zhi |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 27.2024, 2, p. 278-298
|
Subject: | empirical characteristic function | high-frequency data | jumps | jump activity | kernel smoothing | dependent market microstructure noise | pre-averaging | spot volatility | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
-
Inference from high-frequency data : a subsampling approach
Christensen, Kimberly, (2017)
-
Spot volatility estimation using delta sequences
Mancini, Cecilia, (2015)
-
Common price and volatility jumps in noisy high-frequency data
Bibinger, Markus, (2014)
- More ...
-
Estimation of spot volatility with superposed noisy data
Liu, Qiang, (2018)
-
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang, (2022)
-
Jumps at ultra-high frequency : evidence from the Chinese stock market
Zhang, Chuanhai, (2021)
- More ...