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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
Persistent link: https://www.econbiz.de/10010519663
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing...
Persistent link: https://www.econbiz.de/10011374428
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2013
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10009748353
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2014
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10011605734
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2013
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10010312842
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Oil Prices, Exchange Rates and Asset Prices
Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - 2013
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10010317045
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Oil Prices, Exchange Rates and Asset Prices
Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10010659948
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Oil Prices, Exchange Rates and Asset Prices
Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - CESifo - 2013
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10010877722
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - European Central Bank - 2014
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10011067221
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Dash for dollars
Cesa-Bianchi, Ambrogio; Eguren-Martin, Fernando - 2021
Persistent link: https://www.econbiz.de/10012795110