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Volatility, information feedback and market microstructure noise : a tale of two regimes
Andersen, Torben; Cebiroglu, Gökhan; Hautsch, Nikolaus - 2017 - This version: February 6, 2017
We extend the classical "martingale-plus-noise" model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the...
Persistent link: https://www.econbiz.de/10011613905
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On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng - In: Econometric reviews 39 (2020) 10, pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
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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
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Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju; Shin, Dong-wan - In: Journal of econometrics 202 (2018) 2, pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
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Volatility measurement with pockets of extreme return persistence
Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
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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
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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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Volatility estimation and forecasts based on price durations
Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity
Ubukata, Masato; Oya, Kosuke - In: Recent advances in financial engineering : proceedings …, (pp. 201-218). 2009
Persistent link: https://www.econbiz.de/10003871191
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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