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Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 · Study

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PreprintMicrostructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

Jean Jacod2008

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Preprintgreen2008

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

Jean Jacod · Yingying Li · Mark Podolskij · Mathias Vetter

25 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 2003Limit Theorems for Stochastic Processes 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 1997Intraday periodicity and volatility persistence in financial markets

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2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometricspreprint · 11 shared references 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient pricearticle · 11 shared references 2008Microstructure noise in the continuous case: The pre-averaging approacharticle · 10 shared references 2010Estimating quadratic variation when quoted prices change by a constant incrementarticle · 10 shared references 2010Subsampling high frequency dataarticle · 10 shared references 2009Stochastic Volatilityother · 10 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1150685

openalex_workW3023201713

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