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Occupation density estimation for noisy high-frequency data

Zhang, Congshan; Li, Jia; Bollerslev, Tim - In: Journal of econometrics 227 (2022) 1, pp. 189-211

Persistent link: https://www.econbiz.de/10013441646

On the correlation structure of microstructure noise : a financial economic approach

Diebold, Francis X.; Strasser, Georg - In: The review of economic studies 80 (2013) 4, pp. 1304-1337

Persistent link: https://www.econbiz.de/10010202113

Robust nonparametric estimation for the volatility of financial market

Kao, Chunyu; Song, Yuping - In: International journal of financial engineering 10 (2023) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10014251158

Tackling boundary effects in nonparametric estimation of intra-day liquidity measures

Grammig, Joachim - 2001

Persistent link: https://www.econbiz.de/10013444436

Nonparametric Kernel density estimation near the boundary

Malec, Peter; Schienle, Melanie - 2012 - This Version: August 13, 2012

methodology in practice. -- Kernel density estimation ; boundary correction ; asymmetric kernel …

Persistent link: https://www.econbiz.de/10009577035

Sieve estimation of option-implied state price density

Luo, Junwen; Qu, Zhongjun - In: Journal of econometrics 224 (2021) 1, pp. 88-112

Persistent link: https://www.econbiz.de/10013275364

Essays on inference from multi-stage samples with applications to inequality measurement and on estimation of monotone index models

Bhattacharya, Debopam - 2003

Persistent link: https://www.econbiz.de/10003385099

Estimating spot volatility with high-frequency financial data

Zu, Yang; Boswijk, Herman Peter - In: Journal of econometrics 181 (2014) 2, pp. 117-135

Persistent link: https://www.econbiz.de/10010473332

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

Persistent link: https://www.econbiz.de/10011568279

Estimation of spot volatility with superposed noisy data

Liu, Qiang; Liu, Yiqi; Liu, Zhi; Wang, Li - In: The North American journal of economics and finance : a … 44 (2018), pp. 62-79

Persistent link: https://www.econbiz.de/10012036296

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