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Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
16 references·0 citing·39 second hopsampled
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (2015)Estimating the quadratic covariation matr…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…Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (2010)Pre-averaging estimators of t…High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (2010)High-Frequency Covariance Est…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…Estimating Covariation: Epps Effect, Microstructure Noise (2006)Estimating Covariation: Epps …Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…On covariance estimation of non-synchronously observed diffusion processes (2005)On covariance estimation of n…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesEconometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Fourier series method for measurement of multivariate volatilities (2002)Fourier series method for mea…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 …Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…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)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)Estimating betas from nonsynchronous data (1977)Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)Econophysics review: I. Empirical facts (2011)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)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)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Separating microstructure noise from volatility (2005)A framework for assessing the systemic risk of major financial institutions (2009)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)Limit Theorems for Stochastic Processes (2003)Realized Volatility: A Review (2008)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Multivariate Simultaneous Generalized ARCH (1995)Vast Portfolio Selection With Gross-Exposure Constraints (2012)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)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)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)
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References

  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 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
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 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
  • 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 2010Ultra high frequency volatility estimation with dependent microstructure noise360 cited
  • 2006Estimating Covariation: Epps Effect, Microstructure Noise326 cited
  • 2010

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High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
280 cited
  • 2010Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data252 cited
  • 2002Fourier series method for measurement of multivariate volatilities230 cited
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