Search Results - subject:"microstructure noise"

Spot volatility estimation using delta sequences

Mancini, Cecilia; Mattiussi, Vanessa; Renò, Roberto - In: Finance and stochastics 19 (2015) 2, pp. 261-293

Persistent link: https://www.econbiz.de/10011417938

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

Bibinger, Markus; Winkelmann, Lars - In: Journal of econometrics 184 (2015) 2, pp. 361-378

Persistent link: https://www.econbiz.de/10011339314

Two-scale realized kernels : a univariate case

Ikeda, Shin S. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 126-165

Persistent link: https://www.econbiz.de/10010519659

A state space approach to estimating the integrated variance under the existence of market microstructure noise

Nagakura, Daisuke; Watanabe, Toshiaki - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 45-82

Persistent link: https://www.econbiz.de/10010519663

Bipower-type estimation in a noisy diffusion setting

Podolskij, Mark; Vetter, Mathias - 2008

estimation of the integrated volatility in the presence of microstructure noise and are closely related to the original concept …

Persistent link: https://www.econbiz.de/10010300680

International price discovery in the presence of microstructure noise

Grammig, Joachim G.; Peter, Franziska J. - 2008

This paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and … frequency data. However, due to the considerable amount of microstructure noise inherent in return data at very high frequencies … distributional assumptions and thereby enables us to control for microstructure noise. Our results indicate that the role of the U …

Persistent link: https://www.econbiz.de/10010303718

Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility

Bos, Charles S. - 2008

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing...

Persistent link: https://www.econbiz.de/10010326060

Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution

Jacod, Jean; Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2008

This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise, which are observed at high frequency. Our method generalizes the pre-averaging approach (see [13],[11]) and provides consistent estimates for various characteristics of general...

Persistent link: https://www.econbiz.de/10005440042

Bipower-type estimation in a noisy diffusion setting

Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2008

estimation of the integrated volatility in the presence of microstructure noise and are closely related to the original concept …

Persistent link: https://www.econbiz.de/10005440053

An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models

Kinnebrock, Silja; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2008

under market microstructure noise. We provide an asymptotic limit theory (including feasible central limit theorems) for …

Persistent link: https://www.econbiz.de/10005440072