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Estimating Quadratic Variation Consistently in the Presence of Correlated Measurement Error
16 references·3 citing·53 second hopsampled
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2001Measurement Error in Survey Data1,365 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
  • 2005Separating microstructure noise from volatility635 cited
  • 1996High-Frequency Data and Volatility in Foreign-Exchange Rates570 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data315 cited
  • 2000Intraday and interday volatility in the Japanese stock market180 cited
  • 1985Implications of the Discreteness of Observed Stock Prices

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166 cited
  • 2004Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise112 cited
  • 2016Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise37 cited
  • Cited by

    • 2011Predictive Inference for Integrated Volatility29 cited
    • 2013Realized Volatility Forecasting in the Presence of Time-Varying Noise23 cited
    • 2012Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading23 cited