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Finite sample results of range-based integrated volatility estimation
Rossi, Eduardo; Spazzini, Filippo - 2009
Persistent link: https://www.econbiz.de/10003899120
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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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Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
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Optimally sampled realized range-based volatility estimators
Vortelinos, Dimitrios I. - In: Research in international business and finance 30 (2014), pp. 34-50
Persistent link: https://www.econbiz.de/10010390353
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On robust properties of the SIML estimation of volatility under micro-market noise and random sampling
Misaki, Hiroumi; Kunitomo, Naoto - In: International review of economics & finance : IREF 40 (2015), pp. 265-281
Persistent link: https://www.econbiz.de/10011573588
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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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Bias-corrected realized variance
Yeh, Jin-huei; Wang, Jying-Nan - In: Econometric reviews 38 (2019) 2, pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
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Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility
Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19
We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We … compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The …-martingale hypothesis of the stock log-price process and estimate the daily realized volatility. Our method improves the normality …
Persistent link: https://www.econbiz.de/10011781945
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Generalized Class of Synthetic Estimators for Small Area Under Systematic Sampling Design
Pandey, Krishan Kumar - 2011
information, under systematic sampling scheme. The generalized class of synthetic estimators, among others, includes the simple …
Persistent link: https://www.econbiz.de/10013123166
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On Synthetic and Composite Estimators for Small Area Estimation Under Lahiri–Midzuno Sampling Scheme
Pandey, Krishan Kumar - 2011
and synthetic ratio estimators, under Lahiri–Midzuno (L-M) sampling scheme. Both the estimators under L-M scheme are …
Persistent link: https://www.econbiz.de/10014180772