SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Econometrics of co-jumps in high-frequency data with noise · Study

ArticleShelves

ArticleEconometrics of co-jumps in high-frequency data with noise

Markus Bibinger2014

OA

Articlegreen2014

Econometrics of co-jumps in high-frequency data with noise

Markus Bibinger · Lars Winkelmann

62 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 62 citations exist upstream.

References

2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005A Tale of Two Time Scales 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics 2008Microstructure noise in the continuous case: The pre-averaging approach 2005Separating microstructure noise from volatility

Cited by

2017Forecasting the variance of stock index returns using jumps and cojumps 2017Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence 2017Testing for mutually exciting jumps and financial flights in high frequency data 2015ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2018Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessmentarticle · 18 shared references 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient pricearticle · 18 shared references 2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous tradingarticle · 17 shared references 2013Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Methodarticle · 17 shared references 2010Realised quantile-based estimation of the integrated variancearticle · 15 shared references 2012Asymptotic Theory of Range-Based Multipower Variationarticle · 15 shared references

Details

Year2014

Typearticle

Published2014-10-16

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations62

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.jeconom.2014.10.004

openalex_workW2012446887

Links

Imported from OpenAlex (CC0) — nothing here is generated.