Ultra high frequency volatility estimation with dependent microstructure noise

DOI10.1016/j.jeconom.2010.03.028zbMath1441.62577OpenAlexW3124218550MaRDI QIDQ737274

Lan Zhang, Yacine Aït-Sahalia, Per Aslak Mykland

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w11380.pdf

zbMATH Keywords

subsampling high frequency data market microstructure realized volatility serial dependence two scales realized volatility multiple scales realized volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (80)

A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous ⋮ Extended stochastic volatility models incorporating realised measures ⋮ An integrated cross-volatility estimation for asynchronous noisy data ⋮ Testing for jumps when asset prices are observed with noise -- a ``swap variance approach ⋮ Out of sample forecasts of quadratic variation ⋮ Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error ⋮ Robust covariance estimation with noisy high-frequency financial data ⋮ Predictive density estimators for daily volatility based on the use of realized measures ⋮ Efficient estimation of integrated volatility incorporating trading information ⋮ Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach ⋮ Microstructure noise in the continuous case: the pre-averaging approach ⋮ Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity ⋮ Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data ⋮ Econometric analysis of high frequency data ⋮ Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data ⋮ Stationary bootstrapping realized volatility under market microstructure noise ⋮ カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について ⋮ On high frequency estimation of the frictionless price: the use of observed liquidity variables ⋮ Bayesian analysis of structural credit risk models with microstructure noises ⋮ Dependent microstructure noise and integrated volatility estimation from high-frequency data ⋮ Adaptive wavelet estimation of the diffusion coefficient under additive error measurements ⋮ The asymptotics of the integrated self-weighted cross volatility estimator ⋮ Volatility measurement with pockets of extreme return persistence ⋮ Limit experiments of GARCH ⋮ Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas ⋮ Stock co-jump networks ⋮ Realized regression with asynchronous and noisy high frequency and high dimensional data ⋮ Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry ⋮ Functional Estimation and Change Detection for Nonstationary Time Series ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property ⋮ Zero-intelligence realized variance estimation. ⋮ Nonparametric estimation for high-frequency data incorporating trading information ⋮ High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times ⋮ An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory ⋮ Testing for Jump Spillovers Without Testing for Jumps ⋮ ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS ⋮ Nonparametric range-based double smoothing spot volatility estimation for diffusion models ⋮ On the approximate maximum likelihood estimation for diffusion processes ⋮ Some limit theorems for Hawkes processes and application to financial statistics ⋮ ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS ⋮ A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data ⋮ Estimating spot volatility with high-frequency financial data ⋮ Estimating the integrated volatility with tick observations ⋮ The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times ⋮ Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book ⋮ Glivenko-Cantelli theorems for integrated functionals of stochastic processes ⋮ Estimating the integrated volatility using high-frequency data with zero durations ⋮ Inference from high-frequency data: a subsampling approach ⋮ Jumps in equilibrium prices and market microstructure noise ⋮ Jump-robust volatility estimation using nearest neighbor truncation ⋮ International market links and volatility transmission ⋮ Estimating stochastic volatility models using daily returns and realized volatility simultaneously ⋮ Subsampling high frequency data ⋮ Bias-correcting the realized range-based variance in the presence of market microstructure noise ⋮ Modelling microstructure noise with mutually exciting point processes ⋮ Semi-Markov Model for Market Microstructure ⋮ Jump robust two time scale covariance estimation and realized volatility budgets ⋮ An Unbiased Measure of Integrated Volatility in the Frequency Domain ⋮ Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error ⋮ High frequency trading strategies, market fragility and price spikes: an agent based model perspective ⋮ Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight ⋮ Realised quantile-based estimation of the integrated variance ⋮ Quasi-maximum likelihood estimation of volatility with high frequency data ⋮ Estimating covariation: Epps effect, microstructure noise ⋮ Do high-frequency measures of volatility improve forecasts of return distributions? ⋮ High-frequency returns, jumps and the mixture of normals hypothesis ⋮ Subsampling realised kernels ⋮ Functional data analysis for volatility ⋮ CAPM with fuzzy returns and hypothesis testing ⋮ High frequency market microstructure noise estimates and liquidity measures ⋮ Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise ⋮ Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing ⋮ High-dimensional multivariate realized volatility estimation ⋮ Volatility Estimation Based on High-Frequency Data ⋮ A CLT for second difference estimators with an application to volatility and intensity ⋮ Difference based estimators and infill statistics ⋮ Econometrics of co-jumps in high-frequency data with noise ⋮ On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps ⋮ Limit order books

Cites Work

This page was built for publication: Ultra high frequency volatility estimation with dependent microstructure noise