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Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
9 references·3 citing·45 second hop
Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency (2013)Estimating the Quadratic Covariation Matr…On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes (2013)On covariation estimation for…Asymptotic equivalence for inference on the volatility from noisy observations (2011)Asymptotic equivalence for in…Nonsynchronous covariation process and limit theorems (2010)Nonsynchronous covariation pr…Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (2010)Multivariate Realised Kernels…High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (2010)High-Frequency Covariance Est…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Diffusions with measurement errors. I. Local Asymptotic Normality (2001)Diffusions with measurement e…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Local mispricing and microstructural noise: A parametric perspective (2021)Local mispricing and microstr…Risk and uncertainty (2016)Risk and uncertaintyBetween data cleaning and inference: Pre-averaging and robust estimators of the efficient price (2016)Between data cleaning and inf…Limit Theorems for Stochastic Processes (1987)On the estimation of the diffusion coefficient for multi-dimensional diffusion processes (1993)Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2004)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2006)Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (2008)Comovements in Stock Prices in the Very Short Run (1979)Limit Theorems for Stochastic Processes (2003)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling (2014)ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (2015)Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (2015)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)The leverage effect puzzle: Disentangling sources of bias at high frequency (2013)Principal Component Analysis of High-Frequency Data (2017)Using principal component analysis to estimate a high dimensional factor model with high-frequency data (2017)A Tale of Two Time Scales (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory (2012)Econometrics of co-jumps in high-frequency data with noise (2014)When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility (2017)Monte Carlo Methods in Financial Engineering (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (2016)Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2018)The Econometrics of Financial Markets (1997)Stochastic Integration and Differential Equations (2005)Realised Kernels in Practice: Trades and Quotes (2008)Jumps and betas: A new framework for disentangling and estimating systematic risks (2009)The Econometrics of Financial Markets (2012)Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Brownian Motion and Stochastic Calculus (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Estimation for high-frequency data under parametric market microstructure noise (2020)Does Option Compensation Increase Managerial Risk Appetite? 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this work references cited by second hop

References

  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data280 cited
  • 2010Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading179 cited
  • 2001Diffusions with measurement errors. I. Local Asymptotic Normality137 cited
  • 2011Asymptotic equivalence for inference on the volatility from noisy observations87 cited
  • 2013On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes69 cited
  • 2010Nonsynchronous covariation process and limit theorems53 cited

Cited by

  • 2021Local mispricing and microstructural noise: A parametric perspective32 cited
  • 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price30 cited
  • 2016Risk and uncertainty0 cited

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