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Laplace estimator of integrated volatility when sampling times are endogenous

Cui, Wenhao - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 651-663

Persistent link: https://www.econbiz.de/10013534035

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

Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures

Herrmann, Klaus; Teis, Stefan; Yu, Weijun - 2014

unscheduled news, is given. Depending on the sampling frequency we estimate that between one and two thirds of the variation in … predictive power of the different components depends on sampling frequencies. …

Persistent link: https://www.econbiz.de/10010442584

Estimating stochastic volatility models using realized measures

Bekierman, Jeremias; Gribisch, Bastian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 279-300

Persistent link: https://www.econbiz.de/10011507527

A triple-threshold leverage stochastic volatility model

Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500

Persistent link: https://www.econbiz.de/10011339413

Intra-day realized volatility for European and USA Stock indices

Degiannakis, Stavros; Floros, Christos - In: Global finance journal 29 (2016), pp. 24-41

Persistent link: https://www.econbiz.de/10011714562

A MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334

Persistent link: https://www.econbiz.de/10011704952

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We … estimates using our proposed sampling strategy provide smaller root mean-squared error. …

Persistent link: https://www.econbiz.de/10011781945

Stochastic volatility and leverage : application to a panel of S&P500 stocks

Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76

Persistent link: https://www.econbiz.de/10011552253

Testing for non-correlation between price and volatility jumps

Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297

Persistent link: https://www.econbiz.de/10011818360