Occupation density estimation for noisy high-frequency data

DOI10.1016/j.jeconom.2020.05.013OpenAlexW3048963732MaRDI QIDQ2116333

Tim Bollerslev, Jia Li, Congshan Zhang

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.05.013

zbMATH Keywords

high-frequency datavolatilitymicrostructure noiseinformed tradingoccupation density

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Volatility occupation times
• Testing for jumps in noisy high frequency data
• Asymptotic equivalence for inference on the volatility from noisy observations
• Discretization of processes.
• Quasi-maximum likelihood estimation of volatility with high frequency data
• Limit theorems for moving averages of discretized processes plus noise
• Occupation densities
• Estimating the integrated volatility with tick observations
• Spot volatility estimation using delta sequences
• Microstructure noise in the continuous case: the pre-averaging approach
• Estimating spot volatility with high-frequency financial data
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Long memory in continuous-time stochastic volatility models
• Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
• ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION
• On the Moments of the Modulus of Continuity of Itô Processes
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Statistical Properties of Microstructure Noise
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• The Distribution of Realized Exchange Rate Volatility
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
• Markov Processes, Gaussian Processes, and Local Times
• A Tale of Two Time Scales

This page was built for publication: Occupation density estimation for noisy high-frequency data