Firm’s Volatility Risk Under Microstructure Noise

DOI10.1007/978-3-319-02499-8_5zbMath1418.91562OpenAlexW965891867MaRDI QIDQ4561900

Flavia Barsotti, Simona Sanfelici

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_5

zbMATH Keywords

credit spreaddefault probabilitymicrostructure effectequity pricetrading noise

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Subsampling realised kernels
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• Fourier series method for measurement of multivariate volatilities
• Microstructure noise in the continuous case: the pre-averaging approach
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Tale of Two Time Scales

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