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Econometrics of co-jumps in high-frequency data with noise
16 references·5 citing·38 second hopsampled
Econometrics of co-jumps in high-frequency data with noise (2014)Econometrics of co-jumps in high-frequenc…Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Multivariate realised kernels…Ultra high frequency volatility estimation with dependent microstructure noise (2010)Ultra high frequency volatili…Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Threshold bipower variation a…Jumps, cojumps and macro announcements (2010)Jumps, cojumps and macro anno…Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…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…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…Separating microstructure noise from volatility (2005)Separating microstructure noi…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesA Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Testing for mutually exciting jumps and financial flights in high frequency data (2017)Testing for mutually exciting…Forecasting the variance of stock index returns using jumps and cojumps (2017)Forecasting the variance of s…Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (2017)Estimating the Spot Covariati…Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data (2015)Fourier Spot Volatility Estim…ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates (2015)ECB Monetary Policy Surprises…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)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The Pricing of Options and Corporate Liabilities (1973)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Modeling financial contagion using mutually exciting jump processes (2015)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)Realized Variance and Market Microstructure Noise (2006)The Econometrics of Financial Markets (2012)Limit Theorems for Stochastic Processes (2003)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Jump-robust volatility estimation using nearest neighbor truncation (2012)The impact of sentiment and attention measures on stock market volatility (2019)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)
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References

  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 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
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 2005Separating microstructure noise from volatility635 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations

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400 cited
  • 2010Ultra high frequency volatility estimation with dependent microstructure noise360 cited
  • 2010Jumps, cojumps and macro announcements300 cited
  • Cited by

    • 2017Forecasting the variance of stock index returns using jumps and cojumps55 cited
    • 2017Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence55 cited
    • 2017Testing for mutually exciting jumps and financial flights in high frequency data36 cited
    • 2015Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data27 cited
    • 2015ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates23 cited