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Allowing for jump measurements in volatility : a high-frequency financial data analysis of individual stocks

Papavassiliou, Vassilios G. - In: Bulletin of economic research 68 (2016) 2, pp. 124-132

Persistent link: https://www.econbiz.de/10011496410

Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - 2010

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...

Persistent link: https://www.econbiz.de/10010281504

Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment

Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362

Persistent link: https://www.econbiz.de/10012110287

Fact or friction : jumps at ultra high frequency

Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599

Persistent link: https://www.econbiz.de/10010532687

Inference from high-frequency data : a subsampling approach

Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272

Persistent link: https://www.econbiz.de/10011818358

A new method for estimating liquidity risk : insights from a liquidity-adjusted CAPM framework

Papavassiliou, Vassilios G. - In: Journal of international financial markets, … 24 (2013), pp. 184-197

Persistent link: https://www.econbiz.de/10009726403

Information shares and market quality before and during the European sovereign debt crisis

Papavassiliou, Vassilios G.; Kinateder, Harald - In: Journal of international financial markets, … 72 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012801546

Sovereign bond return prediction with realized higher moments

Kinateder, Harald; Papavassiliou, Vassilios G. - In: Journal of international financial markets, … 62 (2019), pp. 53-73

Persistent link: https://www.econbiz.de/10012262440

The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583

Persistent link: https://www.econbiz.de/10012304092

New insights into liquidity resiliency

O'Sullivan, Conall; Papavassiliou, Vassilios G.; … - In: Journal of international financial markets, … 90 (2024), pp. 1-33

Persistent link: https://www.econbiz.de/10014494689