Optimal design of Fourier estimator in the presence of microstructure noise
From MaRDI portal
Publication:1623566
DOI10.1016/j.csda.2013.08.003zbMath1506.62185OpenAlexW2011715087MaRDI QIDQ1623566
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2013.08.003
discrete Fourier transformperiodogramspectral densityquadratic variationWhittle likelihoodmicrostructure noise
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)
Related Items
Cites Work
- Unnamed Item
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Time series: Theory and methods
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
- A frequency domain bootstrap for ratio statistics in time series analysis
- Fourier series method for measurement of multivariate volatilities
- A Fourier transform method for nonparametric estimation of multivariate volatility
- Microstructure noise in the continuous case: the pre-averaging approach
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- SPECTRAL ANALYSIS WITH TAPERED DATA
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise
- Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- Inference for Continuous Semimartingales Observed at High Frequency
- Realized kernels in practice: trades and quotes
- On a spectral density estimate obtained by averaging periodograms
- Edge effects and efficient parameter estimation for stationary random fields
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- The Distribution of Realized Exchange Rate Volatility
- A Tale of Two Time Scales
- PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
- Time Series
- On measuring volatility of diffusion processes with high frequency data
