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Functional stable limit theorems for quasi-efficient spectral covolatility estimators · Study

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ArticleFunctional stable limit theorems for quasi-efficient spectral covolatility estimators

Randolf Altmeyer2015

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Articlebronze2015

Functional stable limit theorems for quasi-efficient spectral covolatility estimators

Randolf Altmeyer · Markus Bibinger

23 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Statistical Methods and Inference

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References

2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005A Tale of Two Time Scales 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 2008Microstructure noise in the continuous case: The pre-averaging approach 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading 2010Quasi-maximum likelihood estimation of volatility with high frequency data 2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

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2015Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method 2014Estimating the Spot Covariation of Asset Prices Statistical Theory and Empirical Evidence 2012Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading 2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous tradingarticle · 17 shared references 2014Econometrics of co-jumps in high-frequency data with noisearticle · 15 shared references 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient pricearticle · 15 shared references 2015Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging methodarticle · 14 shared references 2012Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Tradingpreprint · 12 shared references 2016Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous tradingarticle · 12 shared references

Details

Year2015

Typearticle

Published2015-08-05

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2015.07.009

openalex_workW2241098751

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2018The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times

2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book

2018Common price and volatility jumps in noisy high-frequency data