ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS

Related Items

On a spiked model for large volatility matrix estimation from noisy high-frequency data ⋮ Estimating integrated co-volatility with partially miss-ordered high frequency data ⋮ Determining the integrated volatility via limit order books with multiple records ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Estimating the integrated volatility using high-frequency data with zero durations ⋮ Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations ⋮ Volatility Estimation and Jump Testing via Realized Information Variation

Uses Software

FinTS

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
ANOVA for diffusions and Itō processes
Jumps and betas: a new framework for disentangling and estimating systematic risks
Quasi-maximum likelihood estimation of volatility with high frequency data
Estimating covariation: Epps effect, microstructure noise
Ultra high frequency volatility estimation with dependent microstructure noise
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
On the jump activity index for semimartingales
Estimating the degree of activity of jumps in high frequency data
Bipower-type estimation in a noisy diffusion setting
Limit theorems for moving averages of discretized processes plus noise
Estimators of diffusions with randomly spaced discrete observations: a general theory
Irregular sampling and central limit theorems for power variations: the continuous case
Microstructure noise in the continuous case: the pre-averaging approach
Activity signature functions for high-frequency data analysis
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
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
Inference for Continuous Semimartingales Observed at High Frequency
Estimating functions for diffusion-type processes
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Power Variation and Time Change
The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Analysis of Financial Time Series
A Tale of Two Time Scales
Brownian Motion