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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

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

Persistent link: https://www.econbiz.de/10011568279

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 … approach is explored through Monte Carlo simulations. It is shown that sparse sampling for mitigating the impact of … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

Persistent link: https://www.econbiz.de/10011379469

Functional stable limit theorems for efficient spectral covolatility estimators

Altmeyer, Randolf; Bibinger, Markus - 2014

We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous...

Persistent link: https://www.econbiz.de/10010230564

Challenges of integrated variance estimation in emerging stock markets

Arnerić, Josip; Matković, Mario - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 37 (2019) 2, pp. 713-739

Persistent link: https://www.econbiz.de/10012213665

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

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

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics 4 (2016) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10011755339

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

estimation for time-varying volatilities stems from an asymptotic equivalence of the underlying statistical model to a white …

Persistent link: https://www.econbiz.de/10010281562

Two-scale realized kernels : a univariate case

Ikeda, Shin S. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 126-165

Persistent link: https://www.econbiz.de/10010519659

Microstructure noise and realized variance in the live cattle futures market

Couleau, Anabelle; Serra, Teresa; García, Philip - In: American journal of agricultural economics 101 (2019) 2, pp. 563-578

Persistent link: https://www.econbiz.de/10012114677