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Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity

Hwang, Eunju; Shin, Dong-wan - In: Journal of econometrics 202 (2018) 2, pp. 178-195

Persistent link: https://www.econbiz.de/10011974560

Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise

Park, Sujin; Linton, Oliver - 2012

Persistent link: https://www.econbiz.de/10009552168

Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

Park, Sujin; Hong, Seok Young; Linton, Oliver - In: Journal of econometrics 191 (2016) 2, pp. 325-347

Persistent link: https://www.econbiz.de/10011610563

Weighted least squares realized covariation estimation

Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013460187

Realized regression with asynchronous and noisy high frequency and high dimensional data

Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10015074483

Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Barunik, Jozef; Vácha, Lukáš - 2014

variance into several investment horizons and jumps. Basing our estimator in the two-scale realized variance framework, we are … processes including long memory fractional stochastic volatility model. The results reveal that our wavelet-based estimator is … to study the volatility of forex futures during the recent crisis at several investment horizons and obtain the results …

Persistent link: https://www.econbiz.de/10010407510