Modelling microstructure noise with mutually exciting point processes
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- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
References listed on IDEAS
- Vetter, Mathias & Podolskij, Mark, 2006.
"Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps,"
2006,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Mark Podolskij & Mathias Vetter, 2007. "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," CREATES Research Papers 2007-27, Department of Economics and Business Economics, Aarhus University.
- Francis X. Diebold & Georg H. Strasser, 2008.
"On the Correlation Structure of Microstructure Noise in Theory and Practice,"
PIER Working Paper Archive
08-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Diebold, Francis X. & Strasser, Georg H., 2008. "On the correlation structure of microstructure noise in theory and practice," CFS Working Paper Series 2008/32, Center for Financial Studies (CFS).
- Luc, BAUWENS & Nikolaus, HAUTSCH, 2006.
"Modelling Financial High Frequency Data Using Point Processes,"
Discussion Papers (ECON - Département des Sciences Economiques)
2006039, Université catholique de Louvain, Département des Sciences Economiques.
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2009. "Modelling financial high frequency data using point processes," CORE Discussion Papers RP 2123, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Nikolaus Hautsch, 2007. "Modelling Financial High Frequency Data Using Point Processes," SFB 649 Discussion Papers SFB649DP2007-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," CORE Discussion Papers 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007. "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers 2007-43, Department of Economics and Business Economics, Aarhus University.
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