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Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity

Hwang, Eunju; Shin, Dong-wan - In: Journal of econometrics 202 (2018) 2, pp. 178-195

Persistent link: https://www.econbiz.de/10011974560

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

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

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

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

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

Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility

Wang, Kent; Liu, Junwei; Liu, Zhi - In: Journal of banking & finance 37 (2013) 5, pp. 1777-1786

Persistent link: https://www.econbiz.de/10009729461

A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data

Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257

Persistent link: https://www.econbiz.de/10012110378

Chapter 17 Microstructure and asset pricing

Easley, David; O'Hara, Maureen - 2003

Market microstructure and asset pricing both consider the behavior and formation of prices in asset markets. Yet neither literature explicitly recognizes the importance and role of the factors so crucial to the other approach. This survey seeks to join the two literatures by surveying the work...

Persistent link: https://www.econbiz.de/10014023854

Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise

Park, Sujin; Linton, Oliver - 2012

Persistent link: https://www.econbiz.de/10009552168

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