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On estimating market microstructure noise variance
Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 150 (2017), pp. 59-62
Persistent link: https://www.econbiz.de/10011762850
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Volatility measurement with pockets of extreme return persistence
Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
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Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
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Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
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A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
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Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju; Shin, Dong-wan - In: Journal of econometrics 202 (2018) 2, pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
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Testing for self-excitation in jumps
Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
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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
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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
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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