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A ReMeDI for microstructure noise
Li, Z. Merrick; Linton, Oliver - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 1, pp. 367-389
Persistent link: https://www.econbiz.de/10012821689
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Robust Estimation of Integrated Volatility
Li, Z. Merrick; Linton, Oliver B. - 2021
We introduce a new method to estimate the integrated volatility (IV) based on noisy high-frequency data. Our method employs the ReMeDI approach introduced by Li and Linton (2021a) to estimate the moments of the microstructure noise and thereby eliminate their influence, and the pre-averaging...
Persistent link: https://www.econbiz.de/10013245826
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Robust Estimation of Integrated and Spot Volatility
Li, Z. Merrick; Linton, Oliver B. - 2022
We introduce a new method to estimate the integrated volatility (IV) and the spot volatility (SV) based on noisy high-frequency data. Our method employs the ReMeDI approach introduced by Li and Linton (2022, Econometrica) to estimate the moments of microstructure noise and thereby eliminate...
Persistent link: https://www.econbiz.de/10013403191
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Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''
Li, Z. Merrick - 2019
Persistent link: https://www.econbiz.de/10012860916
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Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel - 2019
Persistent link: https://www.econbiz.de/10012703138
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Dependent microstructure noise and integrated volatility estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel H. - In: Journal of econometrics 215 (2020) 2, pp. 536-558
Persistent link: https://www.econbiz.de/10012439499
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Semiparametric and nonparametric ARCH modeling
Linton, Oliver - In: Handbook of financial time series, (pp. 157-167). 2009
Persistent link: https://www.econbiz.de/10003833925
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Second order approximation in a linear regression with heteroskedasticity of unknown form
Linton, Oliver - In: Econometric reviews 15 (1996) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10001197549
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Edgeworth approximation in semiparametric regression models
Linton, Oliver - 1991
Persistent link: https://www.econbiz.de/10000868194
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Asymptotic expansions for some semiparametric program evaluation estimators
Ichimura, Hidehiko; Linton, Oliver - In: Identification and inference for econometric models : …, (pp. 149-170). 2005
Persistent link: https://www.econbiz.de/10003351930