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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

Efficient asymptotic variance reduction when estimating volatility in high frequency data

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142

Persistent link: https://www.econbiz.de/10012110370

A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data

Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257

Persistent link: https://www.econbiz.de/10012110378

Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices

Varneskov, Rasmus Tangsgaard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011691138

On the estimation of integrated volatility in the presence of jumps and microstructure noise

Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng - In: Econometric reviews 39 (2020) 10, pp. 991-1013

Persistent link: https://www.econbiz.de/10012406198

Estimating spot volatility under infinite variation jumps with dependent market microstructure noise

Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298

Persistent link: https://www.econbiz.de/10015046377

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

Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment

Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362

Persistent link: https://www.econbiz.de/10012110287

Estimating spot volatility with high-frequency financial data

Zu, Yang; Boswijk, Herman Peter - In: Journal of econometrics 181 (2014) 2, pp. 117-135

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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