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Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
16 references·0 citing·42 second hopsampled
Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data (2011)Estimating the Jump Activity Index Under …Ultra high frequency volatility estimation with dependent microstructure noise (2010)Ultra high frequency volatili…Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)Estimation of volatility func…Estimating the degree of activity of jumps in high frequency data (2009)Estimating the degree of acti…Activity signature functions for high-frequency data analysis (2009)Activity signature functions …Microstructure noise in the continuous case: The pre-averaging approach (2008)Microstructure noise in the c…Fisher's Information for Discretely Sampled Lvy Processes (2008)Fisher's Information for Disc…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Volatility estimators for discretely sampled Lévy processes (2007)Volatility estimators for dis…Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (2007)Multi-Scale Jump and Volatili…Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns* (2006)Dampened Power Law: Reconcili…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…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesWhat Type of Process Underlies Options? A Simple Robust Test (2003)What Type of Process Underlie…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Realized kernels in practice: trades and quotes (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)Stochastic Integration and Differential Equations (2005)Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (2010)Modelling microstructure noise with mutually exciting point processes (2012)Fact or friction: Jumps at ultra high frequency (2014)On estimating the expected return on the market (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Option pricing when underlying stock returns are discontinuous (1976)Option valuation with conditional skewness (2005)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)The risk premia embedded in index options (2015)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Limit Theorems for Stochastic Processes (2003)Realized Volatility: A Review (2008)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Why Does Stock Market Volatility Change Over Time? (1989)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Finance and Economics Discussion Series (2022)Estimating Covariation: Epps Effect, Microstructure Noise (2006)Informed traders and limit order markets (2009)Limit order books (2013)
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References

  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 2005Separating microstructure noise from volatility635 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 2010Ultra high frequency volatility estimation with dependent microstructure noise360 cited
  • 2009Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps298 cited
  • 2003What Type of Process Underlies Options? A Simple Robust Test296 cited
  • 2009Estimating the degree of activity of jumps in high frequency data288 cited
  • 2007Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data241 cited
  • 2007Volatility estimators for discretely sampled Lévy processes104 cited
  • 2009Activity signature functions for high-frequency data analysis99 cited

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2008
Fisher's Information for Discretely Sampled Lvy Processes
72 cited
  • 2006Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns*69 cited
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