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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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Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel - 2019
Persistent link: https://www.econbiz.de/10012703138
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Dependent microstructure noise and integrated volatility estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel H. - In: Journal of econometrics 215 (2020) 2, pp. 536-558
Persistent link: https://www.econbiz.de/10012439499
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Semiparametric and nonparametric ARCH modeling
Linton, Oliver - In: Handbook of financial time series, (pp. 157-167). 2009
Persistent link: https://www.econbiz.de/10003833925
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Efficient estimation of generalized additive nonparametric regression models
Linton, Oliver - In: Econometric theory 16 (2000) 4, pp. 502-523
Persistent link: https://www.econbiz.de/10001517331
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Second order approximation in a linear regression with heteroskedasticity of unknown form
Linton, Oliver - In: Econometric reviews 15 (1996) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10001197549
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Edgeworth approximation in semiparametric regression models
Linton, Oliver - 1991
Persistent link: https://www.econbiz.de/10000868194
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Adaptive testing in ARCH models
Linton, Oliver B.; Steigerwald, Douglas G. - 1995
Persistent link: https://www.econbiz.de/10000585298
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Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary
Linton, Oliver (contributor); Song, Kyungchul (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003716908
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The Froot-Stein model revisited
Høgh, Nils; Linton, Oliver; Nielsen, Jens Perch - In: Annals of actuarial science : publ. by the Institute of … 1 (2006) 1, pp. 37-47
Persistent link: https://www.econbiz.de/10003732697