Similar Search Results

The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583

Persistent link: https://www.econbiz.de/10012304092

Microstructure noise and realized variance in the live cattle futures market

Couleau, Anabelle; Serra, Teresa; García, Philip - In: American journal of agricultural economics 101 (2019) 2, pp. 563-578

Persistent link: https://www.econbiz.de/10012114677

The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading : toward theoretical progress

Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies : open access journal 7 (2019) 3/71, pp. 1-17

This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....

Persistent link: https://www.econbiz.de/10012029331

On the estimation of integrated volatility in the presence of jumps and microstructure noise

Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng - In: Econometric reviews 39 (2020) 10, pp. 991-1013

Persistent link: https://www.econbiz.de/10012406198

Jumps at ultra-high frequency : evidence from the Chinese stock market

Zhang, Chuanhai; Liu, Zhi; Liu, Qiang - In: Pacific-Basin finance journal 68 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013332776

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2016

Persistent link: https://www.econbiz.de/10011479764

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2017

Persistent link: https://www.econbiz.de/10012265896

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2017

Persistent link: https://www.econbiz.de/10011731265

High frequency traders and the price process

Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45

Persistent link: https://www.econbiz.de/10012482736

Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - 2010

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …

Persistent link: https://www.econbiz.de/10010281504