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Cross-sectional noise reduction and more efficient estimation of integrated variance

Mirone, Giorgio - 2018

Persistent link: https://www.econbiz.de/10011864983

A state space approach to estimating the integrated variance under the existence of market microstructure noise

Nagakura, Daisuke; Watanabe, Toshiaki - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 45-82

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Statistical causes for the Epps effect in microstructure noise

Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246

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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

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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

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Les taux de change d'équilibre fondamentaux : de l'approche théorique à l'évaluation empirique

Borowski, Didier; Couharde, Cécile; Thibault, Florence - In: Revue française d'économie : RFE 13 (1998) 3, pp. 177-206

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Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

Podolskij, Mark (contributor); Vetter, Mathias (contributor) - 2006

We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower...