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Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
16 references·15 citing·38 second hop
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence (2013)Preaveraging-Based Estimation of Quadrati…Realized kernels in practice: trades and quotes (2009)Realized kernels in practice:…Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)Estimation of volatility func…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…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …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 ScalesPower and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Limit 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…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The role of binance in bitcoin volatility transmission (2022)The role of binance in bitcoi…Liquidity and volatility in the U.S. Treasury market (2020)Liquidity and volatility in t…A Machine Learning Attack on Illegal Trading (2020)A Machine Learning Attack on …High-dimensional multivariate realized volatility estimation (2019)High-dimensional multivariate…Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2018)Is the diurnal pattern suffic…Estimating the integrated volatility with tick observations (2018)Estimating the integrated vol…When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility (2017)When Moving-Average Models Me…Testing for mutually exciting jumps and financial flights in high frequency data (2017)Testing for mutually exciting…Systemic co-jumps (2017)Systemic co-jumpsEstimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (2017)Estimating the Spot Covariati…ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (2016)ESTIMATING THE QUADRATIC VARI…Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? (2014)Increased Correlation Among A…Liquidity and Volatility in the U.S. Treasury Market (2013)Liquidity and Volatility in t…A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY (2013)A ROBUST NEIGHBORHOOD TRUNCAT…Fact or Friction: Jumps at Ultra High Frequency (2011)Fact or Friction: Jumps at Ul…Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)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)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)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)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)The Econometrics of Financial Markets (2012)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)The Fine Structure of Asset Returns: An Empirical Investigation (2002)
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References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
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  • 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
  • 2009Realized kernels in practice: trades and quotes

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642 cited
  • 2009Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps298 cited
  • Cited by

    • 2014Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?104 cited
    • 2017Systemic co-jumps79 cited
    • 2011Fact or Friction: Jumps at Ultra High Frequency74 cited
    • 2017When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility67 cited
    • 2018Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment56 cited
    • 2017Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence55 cited
    • 2018Estimating the integrated volatility with tick observations53 cited
    • 2013Liquidity and Volatility in the U.S. Treasury Market44 cited
    • 2016ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS40 cited
    • 2019High-dimensional multivariate realized volatility estimation39 cited
    • 2022The role of binance in bitcoin volatility transmission37 cited
    • 2017Testing for mutually exciting jumps and financial flights in high frequency data36 cited
    • 2020Liquidity and volatility in the U.S. Treasury market33 cited
    • 2013A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY32 cited
    • 2020A Machine Learning Attack on Illegal Trading17 cited