An integrated cross-volatility estimation for asynchronous noisy data

DOI10.1080/10485252.2011.647696zbMath1277.62094OpenAlexW2010812511MaRDI QIDQ2892937

Hoang-Long Ngo

Publication date: 25 June 2012

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2011.647696

zbMATH Keywords

microstructure noiseintegrated volatilityasynchronous datacross-volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

The asymptotics of the integrated self-weighted cross volatility estimator

Cites Work

• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
• Estimating covariation: Epps effect, microstructure noise
• Ultra high frequency volatility estimation with dependent microstructure noise
• A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
• On covariance estimation of non-synchronously observed diffusion processes
• Vast volatility matrix estimation for high-frequency financial data
• A Fourier transform method for nonparametric estimation of multivariate volatility
• Asymptotic properties of realized power variations and related functionals of semimartingales
• A central limit theorem for the functional estimation of the spot volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Real-time scheme for the volatility estimation in the presence of microstructure noise
• A Tale of Two Time Scales

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