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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
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Dependent microstructure noise and integrated volatility estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel - In: Journal of econometrics 215 (2020) 2, pp. 536-558
Persistent link: https://www.econbiz.de/10012439499
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Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.; Mykland, Per A. - In: Journal of econometrics 200 (2017) 1, pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
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Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying; Liu, Guangying; Zhang, Zhiyuan - In: Journal of econometrics 229 (2022) 2, pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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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
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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
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High-dimensional multivariate realized volatility estimation
Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
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Volatility measurement with pockets of extreme return persistence
Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27
Persistent link: https://www.econbiz.de/10014471793