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A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise

Li, Yingying; Zhang, Zhiyuan; Li, Yichu - In: Journal of econometrics 203 (2018) 2, pp. 187-222

Persistent link: https://www.econbiz.de/10011974656

Volatility estimation and forecasts based on price durations

Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144

Persistent link: https://www.econbiz.de/10013542852

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

Estimating spot volatility under infinite variation jumps with dependent market microstructure noise

Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298

Persistent link: https://www.econbiz.de/10015046377

Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading

Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2014

the pre-averaged realized volatility estimator to a general class of estimators of integrated covolatility. We then show … the first-order asymptotic validity of this method in the multivariate context with a potential presence of jumps …

Persistent link: https://www.econbiz.de/10010937808

Sluggish news reactions: a combinatorial approach for synchronizing stock jumps

Bouamara, Nabil; Boudt, Kris; Laurent, Sébastien; … - 2024

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Estimating spot volatility with high-frequency financial data

Zu, Yang; Boswijk, Herman Peter - In: Journal of econometrics 181 (2014) 2, pp. 117-135

Persistent link: https://www.econbiz.de/10010473332

Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337

Persistent link: https://www.econbiz.de/10012302598

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

Estimating the integrated volatility with tick observations

Jacob, Jean; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 208 (2019) 1, pp. 80-100

Persistent link: https://www.econbiz.de/10012139788