Similar Search Results

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

The fractional volatility model and rough volatility

Mendes, Rui Vilela - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-12

Persistent link: https://www.econbiz.de/10014365677

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

Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models

Dahlhaus, Rainer; Neddermeyer, Jan Christoph - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 174-212

Persistent link: https://www.econbiz.de/10010233600

Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise

Taniai, Hiroyuki; Usami, Takashi; Suto, Nobuyuki; … - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 617-636

Persistent link: https://www.econbiz.de/10009671895

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

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

Li, Jia - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 4, pp. 1673-1693

Persistent link: https://www.econbiz.de/10009793469

The asymptotic codifference and covariation of log-fractional stable noise

Levy, Joshua B.; Taqqu, Murad S. - In: Journal of econometrics 181 (2014) 1, pp. 34-43

Persistent link: https://www.econbiz.de/10010473427

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