Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

16 references·9 citing·41 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

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
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
1979Comovements in Stock Prices in the Very Short Run464 cited
2005On covariance estimation of non-synchronously observed diffusion processes407 cited
2010Ultra high frequency volatility estimation with dependent microstructure noise360 cited
2009Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps298 cited
2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data280 cited
2010Quasi-maximum likelihood estimation of volatility with high frequency data280 cited
2010Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

252 cited

2007Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data241 cited

2009Inference for Continuous Semimartingales Observed at High Frequency193 cited

Cited by

2010Nonsynchronous covariation process and limit theorems53 cited
2017Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data53 cited
2010Realized volatility with stochastic sampling49 cited
2021Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk42 cited
2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading41 cited
2015Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data36 cited
2013Spectral Estimation of Covolatility from Noisy Observations Using Local Weights35 cited
2015ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS31 cited
2014Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling28 cited