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Statistical inferences for price staleness
16 references·2 citing·36 second hop
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 2011Discretization of Processes486 cited
  • 2009Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps298 cited
  • 2007Asymptotic properties of realized power variations and related functionals of semimartingales

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297 cited
  • 2014High-Frequency Financial Econometrics283 cited
  • 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales282 cited
  • Cited by

    • 2020Dynamic Discrete Mixtures for High-Frequency Prices21 cited
    • 2023Jumps or Staleness?21 cited