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Statistical properties of microstructure noise

Jacod, Jean; Li, Yingying; Zheng, Xinghua - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 4, pp. 1133-1174

Persistent link: https://www.econbiz.de/10011791234

Efficient estimation of integrated volatility incorporating trading information

Li, Yingying; Xie, Shangyu; Zheng, Xinghua - In: Journal of econometrics 195 (2016) 1, pp. 33-50

Persistent link: https://www.econbiz.de/10011705231

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

Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise

Kunitomo, Naoto; Sato, Seisho - In: The North American journal of economics and finance : a … 26 (2013), pp. 282-309

Persistent link: https://www.econbiz.de/10010365764

Estimating the price impact of trades in a high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10011585573

Spot volatility estimation using delta sequences

Mancini, Cecilia; Mattiussi, Vanessa; Renò, Roberto - In: Finance and stochastics 19 (2015) 2, pp. 261-293

Persistent link: https://www.econbiz.de/10011417938

Common price and volatility jumps in noisy high-frequency data

Bibinger, Markus; Winkelmann, Lars - 2014

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …

Persistent link: https://www.econbiz.de/10010384595

Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model

Li, Yu-Ning; Chen, Jia; Linton, Oliver - 2021

Persistent link: https://www.econbiz.de/10013259517

High-dimensional multivariate realized volatility estimation

Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136

Persistent link: https://www.econbiz.de/10012303903

Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations

Liu, Zhi - In: Finance and stochastics 21 (2017) 2, pp. 427-469

Persistent link: https://www.econbiz.de/10011944390

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