Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
From MaRDI portal
Publication:6149866
DOI10.1080/07350015.2022.2040520OpenAlexW2229474952MaRDI QIDQ6149866
Publication date: 5 March 2024
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: http://www.cireqmontreal.com/wp-content/uploads/cahiers/13-2015-cah.pdf
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Out of sample forecasts of quadratic variation
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- ANOVA for diffusions and Itō processes
- Implied and realized volatility: empirical model selection
- Inference from high-frequency data: a subsampling approach
- Subsampling high frequency data
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Estimating covariation: Epps effect, microstructure noise
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- 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
- Subsampling
- Large sample confidence regions based on subsamples under minimal assumptions
- Irregular sampling and central limit theorems for power variations: the continuous case
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests
- High-frequency factor models and regressions
- Adaptive estimation of continuous-time regression models using high-frequency data
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Realized kernels in practice: trades and quotes
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Prediction of Spatial Cumulative Distribution Functions Using Subsampling
- Estimation of Volatility Functionals: The Case of a $$\sqrt{n}$$ Window
- Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
- ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
- Principal Component Analysis of High-Frequency Data
- High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- A Tale of Two Time Scales
- Unnamed Item
- Unnamed Item
This page was built for publication: Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
