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How often to simple a continuous-time process in the presence of market microstructure noise
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - In: The review of financial studies 18 (2005) 2, pp. 351-416
Persistent link: https://www.econbiz.de/10002881476
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How often to sample a continuous-time process in the presence of market microstructure noise
Aït-Sahalia, Yacine; Mykland, Per A. - 2003
Persistent link: https://www.econbiz.de/10001752968
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Midas regressions : further results and new directions
Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen I. - In: Econometric reviews 26 (2007) 1, pp. 53-90
Persistent link: https://www.econbiz.de/10003509012
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Integrated variance of irregularly spaced high-frequency data : a state space approach based on pre-averaging
Alexeev, Vitali; Chen, Jun; Ignatieva, Ekaterina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 733-763
Persistent link: https://www.econbiz.de/10014506869
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Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data
Klein, Tony - 2018
In econometrics, long memory models for variance modeling like FIGARCH or FIAPARCH are characterized by a Fractional Differencing term. In order to estimate and apply these models, the infinite MacLaurin expansion of the differencing term has to be truncated at a certain level. We transfer the...
Persistent link: https://www.econbiz.de/10012936335
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A General Class of Neural Network-GARCH Models for Financial Time Series Analysis
Thomaidis, Nikolaos S.; Dounias, George D. - 2011
This paper introduces a general class of combined neural network-GARCH models suitable to financial time series analysis. We put special emphasis on designing a full model-building cycle for this class of models that includes all stages of econometric modelling (specification, estimation and...
Persistent link: https://www.econbiz.de/10014058559
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Estimation in a duration model for evaluating educational programs
Brännäs, Kurt - 2000
The paper proposes two estimation approaches for duration models that are subject to right censored observations and selection effects. Main focus is on accelerated duration models and the estimators that are of the limited information type, i.e. they are not based on a fully specified selection...
Persistent link: https://www.econbiz.de/10011318601
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Is exchange rate - customer order flow relationship linear? : evidence from the Hungarian FX market
Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010
evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …
Persistent link: https://www.econbiz.de/10008746440
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Microstructure noise, realized variance, and optimal sampling
Bandi, F. M.; Russell, Jeffrey R. - In: The review of economic studies 75 (2008) 2, pp. 339-369
Persistent link: https://www.econbiz.de/10003678717
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Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Reiß, Markus - 2011
experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the … volatility and efficient estimators of the integrated volatility are constructed. -- High-frequency data ; integrated volatility …; spot volatility estimation ; Le Cam deficiency ; equivalence of experiments ; Gaussian shift …
Persistent link: https://www.econbiz.de/10009125537