Search Results - subject:"microstructure noise"

Volatility and covariation of financial assets: A high-frequency analysis

Cartea, Álvaro; Karyampas, Dimitrios - In: Journal of Banking & Finance 35 (2011) 12, pp. 3319-3334

Using high frequency data for the price dynamics of equities we measure the impact that market microstructure noise has …-filter-based methodology that allows us to deconstruct price series into the true efficient price and the microstructure noise. This approach … that have been proposed to deal with market microstructure noise at high frequencies. Furthermore, this price series …

Persistent link: https://www.econbiz.de/10011065673

Predictive Inference for Integrated Volatility

Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 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 kernel estimators of the aforementioned...

Persistent link: https://www.econbiz.de/10009372753

Predictive Inference for Integrated Volatility

Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2011

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

Persistent link: https://www.econbiz.de/10009372759

New tests for jumps in semimartingale models

Podolskij, M.; Ziggel, D. - In: Statistical Inference for Stochastic Processes 13 (2010) 1, pp. 15-41

Persistent link: https://www.econbiz.de/10008533937

Central limit theorem for the realized volatility based on tick time sampling

Fukasawa, Masaaki - In: Finance and Stochastics 14 (2010) 2, pp. 209-233

Persistent link: https://www.econbiz.de/10008515589

Zero-intelligence realized variance estimation

Gatheral, Jim; Oomen, Roel - In: Finance and Stochastics 14 (2010) 2, pp. 249-283

Persistent link: https://www.econbiz.de/10008515590

Bias-correcting the realized range-based variance in the presence of market microstructure noise

Christensen, Kim; Podolskij, Mark; Vetter, Mathias - In: Finance and Stochastics 13 (2009) 2, pp. 239-268

Persistent link: https://www.econbiz.de/10005613461

Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

Griffin, Jim; Oomen, Roel - In: Econometric Reviews 27 (2008) 1-3, pp. 230-253

This article introduces a new model for transaction prices in the presence of market microstructure noise in order to … the microstructure noise may appear close to IID in transaction time, in tick time it is highly dependent. As a result …

Persistent link: https://www.econbiz.de/10005511893

Using High-Frequency Data in Dynamic Portfolio Choice

Bandi, Federico; Russell, Jeffrey; Zhu, Yinghua - In: Econometric Reviews 27 (2008) 1-3, pp. 163-198

microstructure noise (Bandi and Russell, 2005a, 2008). We compare certainty equivalents derived from volatility-timing trading …

Persistent link: https://www.econbiz.de/10005476176

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

Kinnebrock, Silja; Podolskij, Mark - Department of Economics, Oxford University - 2008

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

Persistent link: https://www.econbiz.de/10011004396