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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

Optimally sampled realized range-based volatility estimators

Vortelinos, Dimitrios I. - In: Research in international business and finance 30 (2014), pp. 34-50

Persistent link: https://www.econbiz.de/10010390353

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

Bias-corrected realized variance

Yeh, Jin-huei; Wang, Jying-Nan - In: Econometric reviews 38 (2019) 2, pp. 170-192

Persistent link: https://www.econbiz.de/10012180719

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 … compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The …-martingale hypothesis of the stock log-price process and estimate the daily realized volatility. Our method improves the normality …

Persistent link: https://www.econbiz.de/10011781945

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

The Fundamental Law of Active Management : Time Series Dynamics and Cross-Sectional Properties

Ding, Zhuanxin - 2011

I derive a generalized version of the fundamental law of active management under some weak conditions. I show that the original fundamental law of Grinold and various extensions are special cases of the result presented in this paper. I also show that cross-sectional ICs are usually different...

Persistent link: https://www.econbiz.de/10013133409

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

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

A New Correlation Coefficient for Bivariate Time-Series Data

Erdem, Orhan - 2014

The correlation in time series has received considerable attention in literature. Its use has attained an important role in the social sciences and finance. For example, pair trading in finance is concerned with the correlation between stock prices, returns, etc. In general, Pearson's...

Persistent link: https://www.econbiz.de/10013059586

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