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Volatility and GMM : Monte Carlo studies and empirical estimations
Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321
Persistent link: https://www.econbiz.de/10001401125
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Further evidence on the relationship between beta stability and the length of the estimation period
Faff, Robert W. - In: Advances in investment analysis and portfolio … 4 (1997), pp. 95-111
Persistent link: https://www.econbiz.de/10001229799
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …
Persistent link: https://www.econbiz.de/10002734112
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808264
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Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808714
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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 bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
Ikeda, Shin S. - In: Journal of econometrics 193 (2016) 1, pp. 203-214
Persistent link: https://www.econbiz.de/10011704791
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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 … estimates using our proposed sampling strategy provide smaller root mean-squared error. …
Persistent link: https://www.econbiz.de/10011781945
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Covariance estimation using random permutations
Padmakumari, Lakshmi; Maheswaran, S. - In: International journal of financial engineering 5 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011922956
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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