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Dependent microstructure noise and integrated volatility estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel H. - In: Journal of econometrics 215 (2020) 2, pp. 536-558
Persistent link: https://www.econbiz.de/10012439499
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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
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Efficient estimation of integrated volatility incorporating trading information
Li, Yingying; Xie, Shangyu; Zheng, Xinghua - In: Journal of econometrics 195 (2016) 1, pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
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A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying; Zhang, Zhiyuan; Li, Yichu - In: Journal of econometrics 203 (2018) 2, pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
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Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
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Estimating the integrated volatility with tick observations
Jacob, Jean; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 208 (2019) 1, pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
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Nonparametric estimation for high-frequency data incorporating trading information
Cui, Wenhao; Hu, Jie; Wang, Jiandong - In: Journal of econometrics 240 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015075085
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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Estimation of fractionally integrated panels with fixed effects and cross-section dependence
Ergemen, Yunus Emre; Velasco, Carlos - In: Journal of econometrics 196 (2017) 2, pp. 248-258
Persistent link: https://www.econbiz.de/10011818289
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Parametric estimation of long memory in factor models
Ergemen, Yunus Emre - In: Journal of econometrics 235 (2023) 2, pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404