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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

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

Inference from high-frequency data : a subsampling approach

Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272

Persistent link: https://www.econbiz.de/10011818358

Fact or friction : jumps at ultra high frequency

Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599

Persistent link: https://www.econbiz.de/10010532687

On the correlation structure of microstructure noise : a financial economic approach

Diebold, Francis X.; Strasser, Georg - In: The review of economic studies 80 (2013) 4, pp. 1304-1337

Persistent link: https://www.econbiz.de/10010202113

Occupation density estimation for noisy high-frequency data

Zhang, Congshan; Li, Jia; Bollerslev, Tim - In: Journal of econometrics 227 (2022) 1, pp. 189-211

Persistent link: https://www.econbiz.de/10013441646

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)

Persistent link: https://www.econbiz.de/10012606872

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487

Persistent link: https://www.econbiz.de/10012483405

Efficient asymptotic variance reduction when estimating volatility in high frequency data

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142

Persistent link: https://www.econbiz.de/10012110370

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

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