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Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
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References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 2010Parametric and Nonparametric Volatility Measurement520 cited
  • 2008Realized Volatility: A Review517 cited
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  • 2009Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps298 cited
  • 2006Limit theorems for multipower variation in the presence of jumps230 cited
  • 2009Inference for Continuous Semimartingales Observed at High Frequency193 cited
  • 1999The Dynamics of Discrete Bid and Ask Quotes171 cited
  • n.d.Limit theorems for bipower variations in financial econometrics141 cited

Cited by

  • 2013Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

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111 cited
  • 2010Realised quantile-based estimation of the integrated variance107 cited
  • 2013Cojumps in stock prices: Empirical evidence94 cited
  • 2013Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks93 cited
  • 2019Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models84 cited
  • 2011Outlyingness Weighted Covariation73 cited
  • 2020Forecasting realized volatility of agricultural commodities58 cited
  • 2013Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility43 cited
  • 2012Financial Risk Measurement for Financial Risk Management43 cited
  • 2017Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance42 cited
  • 2018Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds39 cited
  • 2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions35 cited
  • 2012International market links and volatility transmission35 cited
  • 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price30 cited
  • 2010The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk30 cited