An improved two-step regularization scheme for spot volatility estimation
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References listed on IDEAS
- Nielsen, Morten Ørregaard & Frederiksen, Per, 2008.
"Finite sample accuracy and choice of sampling frequency in integrated volatility estimation,"
Journal of Empirical Finance,
Elsevier, vol. 15(2), pages 265-286, March.
- Morten Ã˜. Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Accuracy Of Integrated Volatility Estimators," Working Paper 1225, Economics Department, Queen's University.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich, 2011. "Functional data analysis for volatility," Journal of Econometrics, Elsevier, vol. 165(2), pages 233-245.
- Charles S. Bos & Paweł Janus & Siem Jan Koopman, 2012.
"Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 10(2), pages 354-389, 2012 06.
- Charles S. Bos & Pawel Janus & Siem Jan Koopman, 2009. "Spot Variance Path Estimation and its Application to High Frequency Jump Testing," Tinbergen Institute Discussion Papers 09-110/4, Tinbergen Institute.
More about this item
KeywordsSpot volatility; Nonparametric estimation; Multi-step regularization; Microstructure;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2009-01-31 (Econometrics)
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