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Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
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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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Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich - In: Journal of econometrics 197 (2017) 1, pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
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Volatility estimation and forecasts based on price durations
Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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Volatility measurement with pockets of extreme return persistence
Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
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A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Shin, Dong-wan; Hwang, Eunju - In: Economics letters 129 (2015), pp. 95-99
Persistent link: https://www.econbiz.de/10011422016
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A noise-robust estimator of volatility based on interquantile ranges
Yeh, Jin-huei; Wang, Jying-Nan; Kuan, Chung-ming - In: Review of quantitative finance and accounting 43 (2014) 4, pp. 751-779
Persistent link: https://www.econbiz.de/10010490993
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Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2016
Persistent link: https://www.econbiz.de/10011479764
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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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A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 211 (2019) 1, pp. 176-205
Persistent link: https://www.econbiz.de/10012303614