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A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise
16 references·0 citing·42 second hopsampled
A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise (2017)A Unified Approach to Volatility Estimati…Fact or friction: Jumps at ultra high frequency (2014)Fact or friction: Jumps at ul…Quasi-maximum likelihood estimation of volatility with high frequency data (2010)Quasi-maximum likelihood esti…Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (2010)Pre-averaging estimators of t…Inference for Continuous Semimartingales Observed at High Frequency (2009)Inference for Continuous Semi…Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (2009)Estimation of volatility func…Microstructure noise in the continuous case: The pre-averaging approach (2008)Microstructure noise in the c…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…Separating microstructure noise from volatility (2005)Separating microstructure noi…How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesRealized Variance and Market Microstructure Noise (2004)Realized Variance and Market …A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)High-Frequency Data and Volat…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Empirical exchange rate models of the seventies (1983)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Parametric and Nonparametric Volatility Measurement (2010)Limit Theorems for Stochastic Processes (1987)Stochastic Integration and Differential Equations (1990)Stochastic Integration and Differential Equations (2005)Estimating Covariation: Epps Effect, Microstructure Noise (2006)Ultra high frequency volatility estimation with dependent microstructure noise (2010)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Realized kernels in practice: trades and quotes (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)On estimating the expected return on the market (1980)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Limit Theorems for Stochastic Processes (2003)Realized Volatility: A Review (2008)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Why Does Stock Market Volatility Change Over Time? (1989)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Finance and Economics Discussion Series (2022)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Statistical analysis of cointegration vectors (1988)The Model-Free Implied Volatility and Its Information Content (2005)MIDAS Regressions: Further Results and New Directions (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)
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References

  • 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
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
  • 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
  • 2005Separating microstructure noise from volatility635 cited
  • 1996High-Frequency Data and Volatility in Foreign-Exchange Rates570 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 2004Realized Variance and Market Microstructure Noise308 cited
  • 2009Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps298 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 data252 cited

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  • 2014Fact or friction: Jumps at ultra high frequency208 cited
  • 2009Inference for Continuous Semimartingales Observed at High Frequency193 cited
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