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Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
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A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 211 (2019) 1, pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
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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
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Local parametric estimation in high frequency data
Potiron, Yoann; Mykland, Per A. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
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On robust properties of the SIML estimation of volatility under micro-market noise and random sampling
Misaki, Hiroumi; Kunitomo, Naoto - In: International review of economics & finance : IREF 40 (2015), pp. 265-281
Persistent link: https://www.econbiz.de/10011573588
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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
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Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011691138
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Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps
Koike, Yuta - In: Econometric theory 32 (2016) 3, pp. 533-611
Persistent link: https://www.econbiz.de/10011606815
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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