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Integrated volatility and round-off error
16 references·4 citing·37 second hop
Integrated volatility and round-off error (2009)Integrated volatility and round-off errorRealized volatility forecasting and market microstructure noise (2010)Realized volatility forecasti…Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Microstructure Noise, Realize…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…Bootstrapping Realized Volatility (2008)Bootstrapping Realized Volati…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…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 ScalesLimit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…A theoretical comparison between integrated and realized volatility (2002)A theoretical comparison betw…Diffusions with measurement errors. I. Local Asymptotic Normality (2001)Diffusions with measurement e…Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…A Central Limit Theorem for Normalized Functions of the Increments of a Diffusion Process, in the Presence of Round-Off Errors (1997)A Central Limit Theorem for N…A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise (2017)A Unified Approach to Volatil…Efficient estimation of integrated volatility incorporating trading information (2016)Efficient estimation of integ…Rounding Errors and Volatility Estimation (2014)Rounding Errors and Volatilit…A new microstructure noise index (2010)A new microstructure noise in…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Continuous Martingales and Brownian Motion (1999)Modeling and Forecasting Realized Volatility (2003)Parametric and Nonparametric Volatility Measurement (2010)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Exploiting the errors: A simple approach for improved volatility forecasting (2015)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)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)On estimating the expected return on the market (1980)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)Stochastic Integration and Differential Equations (2005)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)The Distribution of Realized Exchange Rate Volatility (2001)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Statistical analysis of cointegration vectors (1988)The Model-Free Implied Volatility and Its Information Content (2005)MIDAS Regressions: Further Results and New Directions (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Realized Volatility: A Review (2008)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)The Fine Structure of Asset Returns: An Empirical Investigation (2002)
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References

  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 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
  • 2006Realized Variance and Market Microstructure Noise1,164 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
  • 2008Microstructure Noise, Realized Variance, and Optimal Sampling598 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 2002A theoretical comparison between integrated and realized volatility281 cited
  • 2010Realized volatility forecasting and market microstructure noise255 cited
  • 2008Bootstrapping Realized Volatility155 cited
  • 2001

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Diffusions with measurement errors. I. Local Asymptotic Normality
137 cited
  • 1997A Central Limit Theorem for Normalized Functions of the Increments of a Diffusion Process, in the Presence of Round-Off Errors121 cited
  • Cited by

    • 2016Efficient estimation of integrated volatility incorporating trading information42 cited
    • 2010A new microstructure noise index31 cited
    • 2014Rounding Errors and Volatility Estimation27 cited
    • 2017A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise24 cited