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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - 2010

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …

Persistent link: https://www.econbiz.de/10008663394

Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - 2010

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …

Persistent link: https://www.econbiz.de/10008697981

Forecasting volatility with the realized range in the presence of noise and non-trading

Bannouh, Karim; Martens, Martin; Dijk, Dick van - In: The North American journal of economics and finance : a … 26 (2013), pp. 535-551

Persistent link: https://www.econbiz.de/10010370495

Bayesian learning in financial markets : price adjustments, fundamentals, and risk

Müller, Christoph - 2009 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003866148

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10009754008

Common price and volatility jumps in noisy high-frequency data

Bibinger, Markus; Winkelmann, Lars - 2014

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric...

Persistent link: https://www.econbiz.de/10010384595

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 …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

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

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

A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics

Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936

Persistent link: https://www.econbiz.de/10012653203