Search Results - subject:"microstructure noise"

Estimating Stochastic Volatility Models using Prediction-based Estimating Functions

Lunde, Asger; Brix, Anne Floor - School of Economics and Management, University of Aarhus - 2013

In this paper prediction-based estimating functions (PBEFs), introduced in Sørensen (2000), are reviewed and PBEFs for the Heston (1993) stochastic volatility model are derived. The finite sample performance of the PBEF based estimator is investigated in a Monte Carlo study, and compared to the...

Persistent link: https://www.econbiz.de/10010851259

Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns

Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - School of Economics and Management, University of Aarhus - 2013

The main contribution of this paper is to propose bootstrap methods for realized volatility-like estimators defined on pre-averaged returns. In particular, we focus on the pre-averaged realized volatility estimator proposed by Podolskij and Vetter (2009). This statistic can be written (up to a...

Persistent link: https://www.econbiz.de/10010851277

Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling

Koike, Yuta - Institute of Economic Research, Hitotsubashi University - 2013

We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner. The observation data is contaminated by some noise, which is possibly correlated with the returns of the diffusion processes, while the sampling times also possibly depend on the...

Persistent link: https://www.econbiz.de/10010614067

Pricing Nikkei 225 Options Using Realized Volatility

Ubukata, Masato; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2013

a) adjustment for non-trading hours improves the performance, (3) methods for reducing microstructure noise-induced bias …This article examines option pricing performance using realized volatilities with or without handling microstructure … noise, non-trading hours and large jumps. The dynamics of realized volatility is specified by ARFIMA(X) and HAR(X) models …

Persistent link: https://www.econbiz.de/10010614080

Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...

Persistent link: https://www.econbiz.de/10010640724

Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing

Bibinger, Markus; Mykland, Per A. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to be asynchronous. The central limit theorem is shown to have a feasible version. In the process, we show that the...

Persistent link: https://www.econbiz.de/10010603544

Econometrics of co-jumps in high-frequency data with noise

Bibinger, Markus; Winkelmann, Lars - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is modeled by an Itˆo …

Persistent link: https://www.econbiz.de/10011277288

Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity

Hwang, Eunju; Shin, Dong-wan - In: Journal of econometrics 202 (2018) 2, pp. 178-195

Persistent link: https://www.econbiz.de/10011974560

A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise

Li, Yingying; Zhang, Zhiyuan; Li, Yichu - In: Journal of econometrics 203 (2018) 2, pp. 187-222

Persistent link: https://www.econbiz.de/10011974656

Estimating the integrated volatility using high-frequency data with zero durations

Liu, Zhi; Kong, Xin-Bing; Jing, Bingyi - In: Journal of econometrics 204 (2018) 1, pp. 18-32

Persistent link: https://www.econbiz.de/10011974707