Estimation of quarticity with high-frequency data
From MaRDI portal
Publication:2873034
DOI10.1080/14697688.2012.664936zbMath1278.91197OpenAlexW3123069304MaRDI QIDQ2873034
Simona Sanfelici, Maria Elvira Mancino
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.disei.unifi.it/upload/sub/pubblicazioni/repec/flo/workingpapers/storicodimad/2011/dimadwp2011-06.pdf
Stochastic models in economics (91B70) Trade models (91B60) Financial applications of other theories (91G80)
Related Items (7)
A calibration procedure for analyzing stock price dynamics in an agent-based framework ⋮ Efficient asymptotic variance reduction when estimating volatility in high frequency data ⋮ High-frequency volatility of volatility estimation free from spot volatility estimates ⋮ Estimation of the stochastic leverage effect using the Fourier transform method ⋮ Testing for jumps based on high-frequency data: a method exploiting microstructure noise ⋮ Asymptotic results for the Fourier estimator of the integrated quarticity ⋮ Estimation for high-frequency data under parametric market microstructure noise
Cites Work
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Volatility forecasting and microstructure noise
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- An econometric analysis of nonsynchronous trading
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- On covariance estimation of non-synchronously observed diffusion processes
- 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
- Zero-intelligence realized variance estimation.
- A Theory of the Term Structure of Interest Rates
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
- Modeling and Forecasting Realized Volatility
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- A CLOSER LOOK AT THE EPPS EFFECT
- A Tale of Two Time Scales
This page was built for publication: Estimation of quarticity with high-frequency data
