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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

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

Nonparametric Kernel density estimation near the boundary

Malec, Peter; Schienle, Melanie - 2012 - This Version: August 13, 2012

methodology in practice. -- Kernel density estimation ; boundary correction ; asymmetric kernel …

Persistent link: https://www.econbiz.de/10009577035

Sieve estimation of option-implied state price density

Luo, Junwen; Qu, Zhongjun - In: Journal of econometrics 224 (2021) 1, pp. 88-112

Persistent link: https://www.econbiz.de/10013275364

A noise-robust estimator of volatility based on interquantile ranges

Yeh, Jin-huei; Wang, Jying-Nan; Kuan, Chung-ming - In: Review of quantitative finance and accounting 43 (2014) 4, pp. 751-779

Persistent link: https://www.econbiz.de/10010490993

Analysis of order book flows using a non-parametric estimation of the branching ratio matrix

Achab, Massil; Bacry, E.; Muzy, J. F.; Rambaldi, M. - In: Quantitative finance 18 (2018) 2, pp. 199-212

Persistent link: https://www.econbiz.de/10011905857

Inference for nonparametric high-frequency estimators with an application to time variation in betas

Kalnina, Ilze - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 538-549

Persistent link: https://www.econbiz.de/10014448338

Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices

Liu, Jia - In: Journal of risk 24 (2021) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10012816791

Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

Reiß, Markus - 2011

; spot volatility estimation ; Le Cam deficiency ; equivalence of experiments ; Gaussian shift …

Persistent link: https://www.econbiz.de/10009125537