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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

Microstructure noise and realized variance in the live cattle futures market

Couleau, Anabelle; Serra, Teresa; García, Philip - In: American journal of agricultural economics 101 (2019) 2, pp. 563-578

Persistent link: https://www.econbiz.de/10012114677

Challenges of integrated variance estimation in emerging stock markets

Arnerić, Josip; Matković, Mario - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 37 (2019) 2, pp. 713-739

Persistent link: https://www.econbiz.de/10012213665

Testing for extreme volatility transmission with realized volatility measures

Boucher, Christophe; Truchis, Gilles de; Dumitrescu, … - 2017

Persistent link: https://www.econbiz.de/10011738966

On estimating market microstructure noise variance

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 150 (2017), pp. 59-62

Persistent link: https://www.econbiz.de/10011762850

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

Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals : a new approach

Pozzi, Lorenzo; Sadaba, Barbara - In: Macroeconomic dynamics 24 (2020) 4, pp. 951-994

Persistent link: https://www.econbiz.de/10012241042

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/10011374428

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - 2015

Persistent link: https://www.econbiz.de/10011736615

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234

Persistent link: https://www.econbiz.de/10011642112