Search Results - subject:"microstructure noise"

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

Kinnebrock, Silja; Podolskij, Mark - Finance Research Centre, 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/10005730017

MIDAS Regressions: Further Results and New Directions

Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen - In: Econometric Reviews 26 (2007) 1, pp. 53-90

also report empirical evidence on microstructure noise and volatility forecasting. …

Persistent link: https://www.econbiz.de/10005476038

Efficient estimation of drift parameters in stochastic volatility models

Gloter, Arnaud - In: Finance and Stochastics 11 (2007) 4, pp. 495-519

Persistent link: https://www.econbiz.de/10005390660

Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise

Ubukata, Masato; Oya, Kosuke - Graduate School of Economics, Osaka University - 2007

The cumulative covariance estimator in Hayashi and Yoshida (2005) which suits for non-synchronous observations possibly has a bias in the presence of the observational noise. We propose the test statistic to detect whether the observational noise causes a measurable bias in the estimator of...

Persistent link: https://www.econbiz.de/10005774308

Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise

Ubukata, Masato; Oya, Kosuke - Graduate School of Economics, Osaka University - 2007

The cumulative covariance estimator in Hayashi and Yoshida (2005b) which suits for non-synchronous observations possibly has a bias in the presence of the observational noise. We propose the test statistic to detect whether the observational noise causes a measurable bias in the estimator of...

Persistent link: https://www.econbiz.de/10005710091

Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures

Corradi, Valentina; Swanson, Norman; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2006

consistent estimation, even in the presence of jumps and microstructure noise in prices. More precisely, we establish that four … well known realized measures, i.e. realized volatility, bipower variation, and two measures robust to microstructure noise …

Persistent link: https://www.econbiz.de/10005750189

Predictive Inference for Integrated Volatility

Corradi, Valentina; Swanson, Norman; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2006

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/10005839048

Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise

Shephard, Neil - Department of Economics, Oxford University - 2004

We consider kernel-based estimators of integrated variances in the presence of independent market microstructure effects. We derive the bias and variance properties for all regular kernel-based estimators and derive a lower bound for their asymptotic variance. Further we show that the...

Persistent link: https://www.econbiz.de/10010661376

Essays in econometrics and time-series analysis

Lee, Tae Suk (1976; Ploberger, Werner; Yildiz, Nese

considered by Podolskij and Vetter (2009). We relax their assumptions on the properties of market microstructure noise in order … over previously-considered pre-averaging estimators. Because our methodology and assumptions on the market microstructure … noise component are general, our estimator can also be applied to multivariate time series without any need to correct for …

Persistent link: https://www.econbiz.de/10009482965

Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises

Huang, Shirley J.; Yu, Jun - School of Economics, Singapore Management University

In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstruc- ture noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the...

Persistent link: https://www.econbiz.de/10010561676