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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - 2011
noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …
Persistent link: https://www.econbiz.de/10010281562
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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus - 2011
distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …
Persistent link: https://www.econbiz.de/10010281599
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Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26
of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …
Persistent link: https://www.econbiz.de/10011568279
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Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing
Bibinger, Markus; Mykland, Per A. - 2013
weight functions. We also include the analysis for the Hayashi-Yoshida estimator in absence of microstructure. The theory …
Persistent link: https://www.econbiz.de/10010318742
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Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013
-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation …
Persistent link: https://www.econbiz.de/10010318777
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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …
Persistent link: https://www.econbiz.de/10009644466
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …
Persistent link: https://www.econbiz.de/10010587710
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Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
-synchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation …
Persistent link: https://www.econbiz.de/10010640724
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Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
Bibinger, Markus; Mykland, Per A. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
weight functions. We also include the analysis for the Hayashi-Yoshida estimator in absence of microstructure. The theory …
Persistent link: https://www.econbiz.de/10010603544
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469