Volatility estimation and forecasts based on price durations
Year of publication: |
2023
|
---|---|
Authors: | Hong, Seok Young ; Nolte, Ingmar ; Taylor, Stephen ; Zhao, Xiaolu |
Subject: | forecasting | high-frequency data | market microstructure noise | price durations | volatility estimation | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Noise Trading | Noise trading |
-
Volatility measurement with pockets of extreme return persistence
Andersen, Torben, (2023)
-
Forecasting volatility with the realized range in the presence of noise and non-trading
Bannouh, Karim, (2013)
-
Hautsch, Nikolaus, (2013)
- More ...
-
Volatility Estimation and Forecasts Based on Price Durations
Hong, Seok Young, (2020)
-
First Passage Time Covariance Matrix Estimators
Hong, Seok Young, (2021)
-
Separate Noise and Jumps From Tick Data : An Endogenous Thresholding Approach
Zhao, Xiaolu, (2021)
- More ...