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Robust nonparametric estimation for the volatility of financial market

Kao, Chunyu; Song, Yuping - In: International journal of financial engineering 10 (2023) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10014251158

Noisy information, interest rate shocks and the Great Moderation

Mayer, Eric; Scharler, Johann - In: Journal of macroeconomics 33 (2011) 4, pp. 568-581

Persistent link: https://www.econbiz.de/10009530455

On estimation of hurst parameter under noisy observations

Liu, Guangying; Jing, Bingyi - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 483-492

Persistent link: https://www.econbiz.de/10012249184

Multiscale volatility analysis for noisy high-frequency prices

Leung, Tim; Zhao, Theodore - In: Risks : open access journal 11 (2023) 7, pp. 1-20

We present a multiscale analysis of the volatility of intraday prices from high-frequency data. Our multiscale framework includes a fractional Brownian motion and microstructure noise as the building blocks. The proposed noisy fractional Brownian motion model is shown to possess a variety of...

Persistent link: https://www.econbiz.de/10014335913

Recovering the real-world density and liquidity premia from option data

Barkhagen, Mathias; Blomvall, Jörgen; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344223

Oral intervention in China : efficacy of Chinese exchange rate communications

Zhang, Zhichao; He, Li; Zhang, Chuanjie - In: International review of financial analysis 49 (2017), pp. 24-34

Persistent link: https://www.econbiz.de/10011741229

Adaptive wild bootstrap tests for a unit root with non‐stationary volatility

Boswijk, Herman Peter; Zu, Yang - In: The econometrics journal 21 (2018) 2, pp. 87-113

Persistent link: https://www.econbiz.de/10012166602

Identifying financial instability conditions using high frequency data

Mancino, Maria Elvira; Sanfelici, Simona - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 221-242

Persistent link: https://www.econbiz.de/10012226914

A non-parametric estimator for stochastic volatility density

Ouamaliche, Soufiane; Sayah, Awatef - In: International journal of computational economics and … 11 (2021) 4, pp. 349-367

Persistent link: https://www.econbiz.de/10012655445

Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts

Toscano, Giacomo; Livieri, Giulia; Mancino, Maria Elvira; … - In: Journal of financial econometrics 22 (2024) 1, pp. 252-296

Persistent link: https://www.econbiz.de/10014526318