Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
Download full text from publisher
References listed on IDEAS
- Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
- Ole E. Barndorff-Nielsen, 2004.
"Power and Bipower Variation with Stochastic Volatility and Jumps,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 2(1), pages 1-37.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Power and bipower variation with stochastic volatility and jumps," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford.
- Nour Meddahi, 2002.
"A theoretical comparison between integrated and realized volatility,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
- Meddahi, N., 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MEDDAHI, Nour, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Universite de Montreal, Departement de sciences economiques.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004.
"A Feasible Central Limit Theory for Realised Volatility Under Leverage,"
2004-W03, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "A feasible central limit theory for realised volatility under leverage," OFRC Working Papers Series 2004fe03, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Multipower Variation and Stochastic Volatility," OFRC Working Papers Series 2004fe22, Oxford Financial Research Centre.
- Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
- Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
- Heiko Ebens, 1999. "Realized Stock Volatility," Economics Working Paper Archive 420, The Johns Hopkins University,Department of Economics, revised Jul 1999.
- Ole E. Barndorff-Nielsen & Shephard, 2002.
"Econometric analysis of realized volatility and its use in estimating stochastic volatility models,"
Journal of the Royal Statistical Society Series B,
Royal Statistical Society, vol. 64(2), pages 253-280.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
- Maureen O'Hara, 2003. "Presidential Address: Liquidity and Price Discovery," Journal of Finance, American Finance Association, vol. 58(4), pages 1335-1354, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ilze Kalnina & Oliver Linton, 2007.
"Inference about Realized Volatility using Infill Subsampling,"
STICERD - Econometrics Paper Series
523, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Kalnina, Ilze & Linton, Oliver, 2007. "Inference about realized volatility using infill subsampling," LSE Research Online Documents on Economics 4411, London School of Economics and Political Science, LSE Library.
- Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
More about this item
KeywordsBipower variation; market microstructure; Realized Volatility;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-30 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:ausm04:273. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/essssea.html .