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Bootstrapping pre-averaged realized volatility under market microstructure noise

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

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

High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times

Chen, Dachuan - In: Journal of econometrics 240 (2024) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10015075056

Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns

Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707

Persistent link: https://www.econbiz.de/10010512286

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

Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices

Varneskov, Rasmus Tangsgaard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 1-22

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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

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Analysis of high frequency data in finance: a survey

Jiang, George J.; Pan, Guanzhong - In: Frontiers of economics in China : selected publications … 15 (2020) 2, pp. 141-166

Persistent link: https://www.econbiz.de/10012670616

A Hausman test for the presence of market microstructure noise in high frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 211 (2019) 1, pp. 176-205

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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

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