scientific article; zbMATH DE number 6149699
From MaRDI portal
Publication:4913195
zbMath1375.62023MaRDI QIDQ4913195
Publication date: 3 April 2013
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Statistical methods; economic indices and measures (91B82)
Related Items
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS ⋮ Trading information, price discreteness, and volatility estimation ⋮ Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous ⋮ Between data cleaning and inference: pre-averaging and robust estimators of the efficient price ⋮ Efficient estimation of integrated volatility incorporating trading information ⋮ Estimating jump-diffusions using closed-form likelihood expansions ⋮ Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data ⋮ The observed asymptotic variance: hard edges, and a regression approach ⋮ Maximum-likelihood estimation for diffusion processes via closed-form density expansions ⋮ Nonparametric inference on Lévy measures and copulas ⋮ Efficient asymptotic variance reduction when estimating volatility in high frequency data ⋮ Estimation of a noisy subordinated Brownian motion via two-scales power variations ⋮ Dependent microstructure noise and integrated volatility estimation from high-frequency data ⋮ Realized regression with asynchronous and noisy high frequency and high dimensional data ⋮ On the estimation of the jump activity index in the case of random observation times ⋮ Nonparametric Bayesian volatility learning under microstructure noise ⋮ A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise ⋮ Recent results in the theory and applications of CARMA processes ⋮ Volatility inference in the presence of both endogenous time and microstructure noise ⋮ ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS ⋮ EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES ⋮ A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data ⋮ The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times ⋮ Estimation of integrated quadratic covariation with endogenous sampling times ⋮ Testing for simultaneous jumps in case of asynchronous observations ⋮ Time endogeneity and an optimal weight function in pre-averaging covariance estimation ⋮ Estimation for high-frequency data under parametric market microstructure noise ⋮ The Estimation of Leverage Effect With High-Frequency Data ⋮ Distribution-free specification test for volatility function based on high-frequency data with microstructure noise ⋮ Integration of CARMA processes and spot volatility modelling ⋮ A CLT for second difference estimators with an application to volatility and intensity ⋮ The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets ⋮ Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method ⋮ Integer-valued Lévy processes and low latency financial econometrics ⋮ Asset selection based on high frequency Sharpe ratio ⋮ Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps