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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

Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model

Li, Yu-Ning; Chen, Jia; Linton, Oliver - 2021

Persistent link: https://www.econbiz.de/10013259517

Volatility estimation and forecasts based on price durations

Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144

Persistent link: https://www.econbiz.de/10013542852

The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks

Bauwens, Luc; Giot, Pierre - In: Annales d'économie et de statistique (2000), pp. 117-149

Persistent link: https://www.econbiz.de/10001543399

High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times

Chen, Dachuan; Chen, Haoning; Feng, Long; Xie, Siyu - 2023

volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of … coefficient of determination. Benefited from the application of Truncated S-TSRV in the estimation of spot covariance, our …

Persistent link: https://www.econbiz.de/10014355250

Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method

Li, Jia - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 4, pp. 1673-1693

Persistent link: https://www.econbiz.de/10009793469