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Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''
Li, Z. Merrick - 2019
Persistent link: https://www.econbiz.de/10012860916
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Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data
Li, Z. Merrick - 2019
In this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficient price and the dynamic properties of microstructure noise in high-frequency data under general dependent noise. We first develop consistent estimators of the variance and autocovariances of...
Persistent link: https://www.econbiz.de/10012860921
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The structure of bias in peer voting systems : lessons from the Eurovision Song Contest
Spierdijk, Laura; Vellekoop, Michel - In: Empirical economics : a journal of the Institute for … 36 (2009) 2, pp. 403-425
Persistent link: https://www.econbiz.de/10003823323
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A tree-based method to price American options in the Heston model
Vellekoop, Michel; Nieuwenhuis, J. H. - In: The journal of computational finance 13 (2009/10) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10003969727
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Efficient pricing of derivatives on assets with discrete dividends
Vellekoop, Michel; Nieuwenhuis, J. H. - In: Applied mathematical finance 13 (2006) 3, pp. 265-284
Persistent link: https://www.econbiz.de/10003383705
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A risk reserve model for hedging in incomplete markets
Minina, Vera N.; Vellekoop, Michel - In: Journal of economic dynamics & control 34 (2010) 7, pp. 1233-1247
Persistent link: https://www.econbiz.de/10008659494
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Modeling non-monotone risk aversion using SAHARA utility functions
Chen, An; Pelsser, Antoon André Jean; Vellekoop, Michel - In: Journal of economic theory 146 (2011) 5, pp. 2075-7092
Persistent link: https://www.econbiz.de/10009308123
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Structural changes in mortality rates with an application to Dutch and Belgian data
Berkum, Frank van; Antonio, Katrien; Vellekoop, Michel - 2013
Persistent link: https://www.econbiz.de/10009731216
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The impact of multiple structural changes on mortality predictions
Berkum, Frank van; Antonio, Katrien; Vellekoop, Michel - 2014
Persistent link: https://www.econbiz.de/10010357818
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Term structure extrapolation and asymptotic forward rates
Kort, Jan de; Vellekoop, Michel; Sun, Zhongyang - In: Insurance / Mathematics & economics 67 (2016), pp. 107-119
Persistent link: https://www.econbiz.de/10011457171