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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

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

Persistent link: https://www.econbiz.de/10013441895

Identifying the underlying components of high-frequency data : pure vs jump diffusion processes

Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025

Persistent link: https://www.econbiz.de/10015191535

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

Fact or friction : jumps at ultra high frequency

Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599

Persistent link: https://www.econbiz.de/10010532687

Inference from high-frequency data : a subsampling approach

Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272

Persistent link: https://www.econbiz.de/10011818358

Testing for jumps based on high-frequency data : a method exploiting microstructure noise

Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809

Persistent link: https://www.econbiz.de/10012313515

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

Noisy high frequency data-based estimation of volatility function with applications

Lin, Jinguan; Ye, Xuguo; Zhao, Yanyong; Hao, Hongxia - In: The Singapore economic review 68 (2023) 6, pp. 2127-2150

Persistent link: https://www.econbiz.de/10014500398

Identifying the underlying components of high-frequency data : pure vs jump diffusion processes

Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - In: Journal of empirical finance 81 (2025), pp. 1-20

Persistent link: https://www.econbiz.de/10015405342