A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
From MaRDI portal
Publication:4979933
DOI10.1017/S026646661300011XzbMath1290.91186OpenAlexW2149011008MaRDI QIDQ4979933
Torben G. Andersen, Ernst Schaumburg, Dobrislav Dobrev
Publication date: 20 June 2014
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s026646661300011x
Related Items (14)
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price ⋮ Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ The observed asymptotic variance: hard edges, and a regression approach ⋮ Efficient asymptotic variance reduction when estimating volatility in high frequency data ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Optimal Execution with Quadratic Variation Inventories ⋮ The effect of intraday periodicity on realized volatility measures ⋮ ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS ⋮ A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA ⋮ Jump-robust volatility estimation using nearest neighbor truncation ⋮ Exploiting the errors: a simple approach for improved volatility forecasting ⋮ Asymptotic results for the Fourier estimator of the integrated quarticity ⋮ Estimation for high-frequency data under parametric market microstructure noise ⋮ Estimation of quarticity with high-frequency data
Cites Work
- Unnamed Item
- Unnamed Item
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Jump-robust volatility estimation using nearest neighbor truncation
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Realised quantile-based estimation of the integrated variance
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Asset pricing for general processes
- Bipower-type estimation in a noisy diffusion setting
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Limit theorems for multipower variation in the presence of jumps
- Microstructure Noise, Realized Variance, and Optimal Sampling
- 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
- Realized kernels in practice: trades and quotes
- The Distribution of Realized Exchange Rate Volatility
- Modeling and Forecasting Realized Volatility
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- A Tale of Two Time Scales
This page was built for publication: A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
