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On the correlation structure of microstructure noise : a financial economic approach

Diebold, Francis X.; Strasser, Georg - In: The review of economic studies 80 (2013) 4, pp. 1304-1337

Persistent link: https://www.econbiz.de/10010202113

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011568279

The influence of intraday seasonality on volatility transmission pattern

Alemany, N.; Aragó Manzana, Vicent; Salvador, E. - In: Quantitative finance 19 (2019) 7, pp. 1179-1197

Persistent link: https://www.econbiz.de/10012194754

A generalized heterogeneous autoregressive model using market information

Hizmeri, Rodrigo; Izzeldin, Marwan; Nolte, Ingmar; … - In: Quantitative finance 22 (2022) 8, pp. 1513-1534

Persistent link: https://www.econbiz.de/10013367925

Realized volatility, price informativeness, and tick size : a market microstructure approach

Xiao, Xijuan; Yamamoto, Ryuichi - In: International review of economics & finance : IREF 89 (2024) 1, pp. 410-426

Persistent link: https://www.econbiz.de/10014446466

Information loss in volatility measurement with flat price trading

Phillips, Peter C. B.; Yu, Jun - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 2957-2999

Persistent link: https://www.econbiz.de/10014329021

Cross-section bootstrap for CCE regressions

Vos, Ignace de; Stauskas, Ovidijus - In: Journal of econometrics 240 (2024) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10015074614

Multistep forecast selection for panel data

Greenaway-McGrevy, Ryan - In: Econometric reviews 39 (2020) 4, pp. 373-406

Persistent link: https://www.econbiz.de/10012181429

The CAPM, national stock market betas, and macroeconomic covariates : a global analysis

Curran, Michael; Velic, Adnan - 2018

Persistent link: https://www.econbiz.de/10011898916

The CAPM, national stock market betas, and macroeconomic covariates : a global analysis

Curran, Michael; Velic, Adnan - In: Open economies review 31 (2020) 4, pp. 787-820

Persistent link: https://www.econbiz.de/10012302138