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Assessment of uncertainty in high frequency data : the observed asymptotic variance

Mykland, Per A.; Zhang, Lan - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 197-231

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The observed asymptotic variance : hard edges, and a regression approach

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

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A new unbiased additive robust volatility estimation using extreme values of asset prices

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Volatility of volatility : estimation and tests based on noisy high frequency data with jumps

Li, Yingying; Liu, Guangying; Zhang, Zhiyuan - In: Journal of econometrics 229 (2022) 2, pp. 422-451

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Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency

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Generalized jump regressions for local moments

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High frequency vs. daily resolution : the economic value of forecasting volatility models

Lilla, Francesca - 2016

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many … limitations. HF data feature microstructure problem, such as the discreteness of the data, the properties of the trading mechanism …

Persistent link: https://www.econbiz.de/10011730304