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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
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Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
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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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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
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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
Persistent link: https://www.econbiz.de/10010473332
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Estimating the integrated volatility with tick observations
Jacob, Jean; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 208 (2019) 1, pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
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Efficient estimation of integrated volatility incorporating trading information
Li, Yingying; Xie, Shangyu; Zheng, Xinghua - In: Journal of econometrics 195 (2016) 1, pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
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Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
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Spot volatility estimation using delta sequences
Mancini, Cecilia; Mattiussi, Vanessa; Renò, Roberto - In: Finance and stochastics 19 (2015) 2, pp. 261-293
Persistent link: https://www.econbiz.de/10011417938
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Common price and volatility jumps in noisy high-frequency data
Bibinger, Markus; Winkelmann, Lars - 2014
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …
Persistent link: https://www.econbiz.de/10010384595