Search Results - subject:"microstructure noise"

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Hautsch, Nikolaus; Hess, Dieter E.; Veredas, David - 2011

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ('efficient return') factor and two market-side-specific components...

Persistent link: https://www.econbiz.de/10010304441

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an appropriate estimation for time-varying volatilities stems from an...

Persistent link: https://www.econbiz.de/10010281562

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Bibinger, Markus - 2011

processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic …

Persistent link: https://www.econbiz.de/10010281599

Predictive inference for integrated volatility

Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned quantities,...

Persistent link: https://www.econbiz.de/10010282862

Predictive inference for integrated volatility

Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011

Persistent link: https://www.econbiz.de/10010282869

The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting

Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - Volkswirtschaftliche Fakultät, … - 2011

realized bipower variation, which are immune against microstructure noise bias and price jumps respectively, generate superior …

Persistent link: https://www.econbiz.de/10009370828

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic …

Persistent link: https://www.econbiz.de/10009644466

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

Persistent link: https://www.econbiz.de/10010587710

Pricing Nikkei 225 Options Using Realized Volatility

Ubukata, Masato; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2011

bias caused by the microstructure noise by setting the sample mean of realized volatility equal to the sample variance of … daily returns, is used, the other methods for taking account of microstructure noise do not necessarily improve the … useful for option pricing. Different realized volatilities are calculated with or without taking account of microstructure …

Persistent link: https://www.econbiz.de/10009249154

Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise

Varneskov, Rasmus Tangsgaard - School of Economics and Management, University of Aarhus - 2011

presence of market microstructure noise that is allowed to exhibit a non-trivial dependence structure and to be correlated with … run variance of the market microstructure noise is provided along with novel and consistent estimators of the asymptotic …

Persistent link: https://www.econbiz.de/10009293968