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ArticleRealized volatility with stochastic sampling

Masaaki Fukasawa2010

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Articlebronze2010

Realized volatility with stochastic sampling

Masaaki Fukasawa

49 citations·0/0 files stored·Stochastic Processes and their Applications

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

2007Brownian Motion and Stochastic Calculus 2016Numerical solution of stochastic differential equations 2003Limit Theorems for Stochastic Processes 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 1991Brownian motion and stochastic calculus 1990Numerical Methods for Stochastic Control Problems in Continuous Time 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005A Tale of Two Time Scales

Cited by

2012Central limit theorems for realized volatility under hitting times of an irregular grid 2011Discretization error of stochastic integrals 2015ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS 2014Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling 2013Volatility inference in the presence of both endogenous time and microstructure noise

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2009Central limit theorem for the realized volatility based on tick time samplingarticle · 13 shared references 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient pricearticle · 11 shared references 2013REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUSarticle · 9 shared references 2010A Gaussian calculus for inference from high frequency dataarticle · 9 shared references 2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous tradingarticle · 9 shared references 2011Discretization error of stochastic integralsarticle · 9 shared references

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Year2010

Typearticle

Published2010-02-17

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations49

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.spa.2010.02.006

openalex_workW1994389693

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2015

Functional stable limit theorems for quasi-efficient spectral covolatility estimators

2021Volatility Estimation and Forecasts Based on Price Durations

2015Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method