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Citations for "Microstructure noise in the continuous case: the pre-averaging approach"

by Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias

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  1. Chaboud, Alain P. & Chiquoine, Benjamin & Hjalmarsson, Erik & Loretan, Mico, 2010. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(2), pages 212-240, March.
  2. Markus Rei\ss, 2010. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," Papers 1001.3006, arXiv.org.
  3. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Series Working Papers 438, University of Oxford, Department of Economics.
  4. Zhang, Lan & Mykland, Per A. & Aït-Sahalia, Yacine, 2011. "Edgeworth expansions for realized volatility and related estimators," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 190-203, January.
  5. Torben B. Rasmussen, 2009. "Jump Testing and the Speed of Market Adjustment," CREATES Research Papers 2009-08, School of Economics and Management, University of Aarhus.
  6. Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005. "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies 2005,30, Deutsche Bundesbank, Research Centre.
  7. Jean Jacod & Mark Podolskij & Mathias Vetter, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-61, School of Economics and Management, University of Aarhus.
  8. Griffin, Jim E. & Oomen, Roel C.A., 2011. "Covariance measurement in the presence of non-synchronous trading and market microstructure noise," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 58-68, January.
  9. Nikolaus Hautsch & Mark Podolskij, 2010. "Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," SFB 649 Discussion Papers SFB649DP2010-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  10. Maria Elvira Mancino & Simona Sanfelici, 2011. "Estimation of Quarticity with High Frequency Data," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa 2011-06, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Jan 2012.
  11. Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2013. "On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 120(C), pages 59-84.
  12. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford.
  13. Koike, Yuta, 2014. "Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 124(8), pages 2699-2753.
  14. Kim Christensen & Roel Oomen & Mark Podolskij, 2010. "Realised quantile-based estimation of the integrated variance," Post-Print, HAL hal-00732538, HAL.
  15. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, Elsevier, vol. 173(1), pages 83-107.
  16. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, Elsevier, vol. 159(2), pages 276-288, December.
  17. Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print, HAL hal-00732537, HAL.
  18. Xiu, Dacheng, 2010. "Quasi-maximum likelihood estimation of volatility with high frequency data," Journal of Econometrics, Elsevier, Elsevier, vol. 159(1), pages 235-250, November.
  19. Xin-Bing Kong, 2013. "A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, Springer, vol. 22(4), pages 647-669, November.
  20. Liu, Cheng & Tang, Cheng Yong, 2014. "A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data," Journal of Econometrics, Elsevier, Elsevier, vol. 180(2), pages 217-232.
  21. Silja Kinnebrock & Mark Podolskij, 2008. "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," CREATES Research Papers 2008-23, School of Economics and Management, University of Aarhus.
  22. Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013. "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(1), pages 224-249.
  23. Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008. "Measuring downside risk - realised semivariance," Economics Series Working Papers 382, University of Oxford, Department of Economics.
  24. Wang, Fangfang, 2014. "Optimal design of Fourier estimator in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 708-722.
  25. Zhang, Lan, 2011. "Estimating covariation: Epps effect, microstructure noise," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 33-47, January.
  26. Per A. Mykland & Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Papers 2012-W02, Economics Group, Nuffield College, University of Oxford.
  27. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, School of Economics and Management, University of Aarhus.
  28. Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Series Working Papers 604, University of Oxford, Department of Economics.
  29. Clément, Emmanuelle & Gloter, Arnaud, 2011. "Limit theorems in the Fourier transform method for the estimation of multivariate volatility," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 121(5), pages 1097-1124, May.
  30. M. Podolskij & D. Ziggel, 2010. "New tests for jumps in semimartingale models," Statistical Inference for Stochastic Processes, Springer, Springer, vol. 13(1), pages 15-41, April.
  31. Todorov, Viktor, 2009. "Estimation of continuous-time stochastic volatility models with jumps using high-frequency data," Journal of Econometrics, Elsevier, Elsevier, vol. 148(2), pages 131-148, February.
  32. Wang, Kent & Liu, Junwei & Liu, Zhi, 2013. "Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(5), pages 1777-1786.
  33. Lee, Suzanne S. & Mykland, Per A., 2012. "Jumps in equilibrium prices and market microstructure noise," Journal of Econometrics, Elsevier, Elsevier, vol. 168(2), pages 396-406.
  34. Rosenbaum, Mathieu & Tankov, Peter, 2011. "Asymptotic results for time-changed Lévy processes sampled at hitting times," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 121(7), pages 1607-1632, July.
  35. Figueroa-López, José E. & Nisen, Jeffrey, 2013. "Optimally thresholded realized power variations for Lévy jump diffusion models," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(7), pages 2648-2677.
  36. Li, Yingying & Zhang, Zhiyuan & Zheng, Xinghua, 2013. "Volatility inference in the presence of both endogenous time and microstructure noise," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(7), pages 2696-2727.
  37. Yin Liao & Heather M. Anderson, 2011. "Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 9/11, Monash University, Department of Econometrics and Business Statistics.
  38. Podolskij, Mark & Vetter, Mathias, 2008. "Bipower-type estimation in a noisy diffusion setting," Technical Reports 2008,24, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  39. Mancini, Cecilia, 2013. "Measuring the relevance of the microstructure noise in financial data," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(7), pages 2728-2751.
  40. Bibinger, Markus, 2012. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 122(6), pages 2411-2453.
  41. Kalnina, Ilze, 2011. "Subsampling high frequency data," Journal of Econometrics, Elsevier, Elsevier, vol. 161(2), pages 262-283, April.
  42. Aït-Sahalia, Yacine & Jacod, Jean & Li, Jia, 2012. "Testing for jumps in noisy high frequency data," Journal of Econometrics, Elsevier, Elsevier, vol. 168(2), pages 207-222.
  43. Vetter, Mathias, 2014. "Inference on the Lévy measure in case of noisy observations," Statistics & Probability Letters, Elsevier, Elsevier, vol. 87(C), pages 125-133.