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Ye, Xu-Guo; Lin, Jin-Guan; Zhao, Yan-Yong; Hao, Hong-Xia - In: Journal of empirical finance 33 (2015), pp. 135-159

Persistent link: https://www.econbiz.de/10011556861

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

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

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Estimating spot volatility with high-frequency financial data

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

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Understanding jumps in high frequency digital asset markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...

Persistent link: https://www.econbiz.de/10012657696

On the estimation of integrated volatility in the presence of jumps and microstructure noise

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Local parametric estimation in high frequency data

Potiron, Yoann; Mykland, Per A. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 679-692

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Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices

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Efficient asymptotic variance reduction when estimating volatility in high frequency data

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Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift

Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221

Persistent link: https://www.econbiz.de/10011878816