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Microstructure noise in the continuous case: The pre-averaging approach · Study

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Microstructure noise in the continuous case: The pre-averaging approach

Jean Jacod, Yingying Li, Per A. Mykland, Mark Podolskij, Mathias Vetter

2008-11-26articleStochastic Processes and their Applications692 citationsbronze

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

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

2003Modeling and Forecasting Realized Volatility

1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market

2003Limit Theorems for Stochastic Processes

2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

2001The Distribution of Realized Exchange Rate Volatility

2004Power and Bipower Variation with Stochastic Volatility and Jumps

Cited by

2009Realized kernels in practice: trades and quotes

2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

2010Threshold bipower variation and the impact of jumps on volatility forecasting

2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

2015Exploiting the errors: A simple approach for improved volatility forecasting

2010Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models

2010Ultra high frequency volatility estimation with dependent microstructure noise

2018Risk Everywhere: Modeling and Managing Volatility

Details

Year2008

Typearticle

VenueStochastic Processes and their Applications

Languageen

Files0 public / 0

Identifiers

doi10.1016/j.spa.2008.11.004

openalex_workW2003413166

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