SZodixStudyAcademic Library

Shelves Open access

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

Statistical inferences for price staleness · Study

ArticleShelves

ArticleStatistical inferences for price staleness

Aleksey Kolokolov2020

OA

Articlegreen2020

Statistical inferences for price staleness

Aleksey Kolokolov · Giulia Livieri · Davide Pirino

26 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 26 citations exist upstream.

References

1985Continuous Auctions and Insider Trading 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1968Fractional Brownian Motions, Fractional Noises and Applications 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1987The Pricing of Options on Assets with Stochastic Volatilities 2003Financial Modelling with Jump Processes 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application

Cited by

2020Dynamic Discrete Mixtures for High-Frequency Prices 2023Jumps or Staleness?

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2018Bootstrapping High-Frequency Jump Testsarticle · 10 shared references 2017Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variancearticle · 9 shared references 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient pricearticle · 9 shared references 2015Large-Dimensional Factor Modeling Based on High-Frequency Observationsarticle · 8 shared references 2012Asymptotic Theory of Range-Based Multipower Variationarticle · 8 shared references 2007Inference for Continuous Semimartingales Observed at High Frequency: A General Approachpreprint · 8 shared references

Details

Year2020

Typearticle

Published2020-02-08

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations26

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jeconom.2020.01.021

openalex_workW2900901986

Links

Imported from OpenAlex (CC0) — nothing here is generated.