Similar Search Results

Nonlinear noise estimation in international stock markets : coarse-grained entropy method

Fang, Yong - In: International journal of economics and finance 2 (2010) 1, pp. 97-104

Persistent link: https://www.econbiz.de/10009311097

On the correlation structure of microstructure noise : a financial economic approach

Diebold, Francis X.; Strasser, Georg - In: The review of economic studies 80 (2013) 4, pp. 1304-1337

Persistent link: https://www.econbiz.de/10010202113

Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility

Wang, Kent; Liu, Junwei; Liu, Zhi - In: Journal of banking & finance 37 (2013) 5, pp. 1777-1786

Persistent link: https://www.econbiz.de/10009729461

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 … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …

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

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

Spot volatility estimation using delta sequences

Mancini, Cecilia; Mattiussi, Vanessa; Renò, Roberto - In: Finance and stochastics 19 (2015) 2, pp. 261-293

Persistent link: https://www.econbiz.de/10011417938

Econometrics of co-jumps in high-frequency data with noise

Bibinger, Markus; Winkelmann, Lars - In: Journal of econometrics 184 (2015) 2, pp. 361-378

Persistent link: https://www.econbiz.de/10011339314

A state space approach to estimating the integrated variance under the existence of market microstructure noise

Nagakura, Daisuke; Watanabe, Toshiaki - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 45-82

Persistent link: https://www.econbiz.de/10010519663

Estimating the integrated volatility using high-frequency data with zero durations

Liu, Zhi; Kong, Xin-Bing; Jing, Bingyi - In: Journal of econometrics 204 (2018) 1, pp. 18-32

Persistent link: https://www.econbiz.de/10011974707