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Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
16 references·2 citing·32 second hop
Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method (2013)Robust Estimation and Inference for Jumps…Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Microstructure noise in the continuous case: The pre-averaging approach (2008)Microstructure noise in the c…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Theory of rational option pricing (2005)Theory of rational option pri…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Separating microstructure noise from volatility (2005)Separating microstructure noi…How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Continuous-Time Finance. (1991)Continuous-Time Finance.Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…A 'Certain-Uncertain' Inconsistency of the Main Experimental System of Utility and Prospect Theories and Models (2014)A 'Certain-Uncertain' Inconsi…Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? (2011)Do Realized Skewness and Kurt…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Specification Tests in Econometrics (1978)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Statistical analysis of cointegration vectors (1988)The Model-Free Implied Volatility and Its Information Content (2005)MIDAS Regressions: Further Results and New Directions (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Model Specification and Risk Premia: Evidence from Futures Options (2007)Numerical solution of stochastic differential equations (2016)Finance and Economics Discussion Series (2022)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Expected Stock Returns and Variance Risk Premia (2009)The VIX, the variance premium and stock market volatility (2014)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)
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  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
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  • 2005

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Separating microstructure noise from volatility
635 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • Cited by

    • 2011Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?27 cited
    • 2014A 'Certain-Uncertain' Inconsistency of the Main Experimental System of Utility and Prospect Theories and Models0 cited