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Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
11 references·10 citing·54 second hopsampled
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise (2005)Ultra High Frequency Volatility Estimatio…How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (2004)Regular and Modified Kernel-B…Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach (2004)Efficient Estimation of Stoch…The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions (2003)The Effects of Random and Dis…Competition among Trading Venues: Information and Trading on Electronic Communications Networks (2003)Competition among Trading Ven…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…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…Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator (1990)Statistical Properties of the…On the Estimation of Bid-Ask Spreads: Theory and Evidence (1988)On the Estimation of Bid-Ask …On the approximate maximum likelihood estimation for diffusion processes (2011)On the approximate maximum li…A comparative study of range‐based stock return volatility estimators for the German market (2011)A comparative study of range‐…Efficient Covariance Estimation for Asynchronous Noisy High‐Frequency Data (2010)Efficient Covariance Estimati…THE TEN COMMANDMENTS FOR OPTIMIZING VALUE‐AT‐RISK AND DAILY CAPITAL CHARGES (2009)THE TEN COMMANDMENTS FOR OPTI…Modelling and Forecasting Noisy Realized Volatility (2009)Modelling and Forecasting Noi…High Frequency Market Microstructure Noise Estimates and Liquidity Measures (2008)High Frequency Market Microst…Estimation and forecasting of stock volatility with range‐based estimators (2008)Estimation and forecasting of…A two-stage realized volatility approach to estimation of diffusion processes with discrete data (2008)A two-stage realized volatili…Forecasting performance of extreme‐value volatility estimators (2007)Forecasting performance of ex…Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2006)Do Bonds Span Volatility Risk…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)Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)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)Realized Variance and Market Microstructure Noise (2004)Stochastic Integration and Differential Equations (2005)Estimating Covariation: Epps Effect, Microstructure Noise (2006)Ultra high frequency volatility estimation with dependent microstructure noise (2010)Brownian motion and stochastic calculus (1991)Limit Theorems for Stochastic Processes (2003)Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2004)Brownian Motion and Stochastic Calculus (2007)Realised Kernels in Practice: Trades and Quotes (2008)Vast volatility matrix estimation for high-frequency financial data (2010)The Cost of Transacting (1968)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Optimal Liquidity Trading (2005)Informed trading in the index option market: The case of KOSPI 200 options (2008)On estimating the expected return on the market (1980)Modeling and Forecasting Realized Volatility (2003)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)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Stock return variances (1986)Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Costs and Returns for Us Equities: The Evidence from Daily Data (2003)Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data (2004)Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2006)A Fourier transform method for nonparametric estimation of multivariate volatility (2009)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Functional data analysis for volatility (2011)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Econometrics of Financial Markets (2012)Inferring Trade Direction from Intraday Data (1991)Measuring the Information Content of Stock Trades (1991)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Island Goes Dark: Transparency, Fragmentation, and Regulation (2005)Automation, speed, and stock market quality: The NYSE's Hybrid (2011)Price Discovery without Trading: Evidence from Limit Orders (2019)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
  • 1996High-Frequency Data and Volatility in Foreign-Exchange Rates570 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 2003Competition among Trading Venues: Information and Trading on Electronic Communications Networks280 cited
  • 1988On the Estimation of Bid-Ask Spreads: Theory and Evidence238 cited
  • 1990Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator195 cited
  • 2004Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach146 cited
  • 2003The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions133 cited
  • 2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise88 cited

Cited by

  • 2008High Frequency Market Microstructure Noise Estimates and Liquidity Measures61 cited
  • 2009THE TEN COMMANDMENTS FOR OPTIMIZING VALUE‐AT‐RISK AND DAILY CAPITAL CHARGES54 cited
  • 2009

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Modelling and Forecasting Noisy Realized Volatility
48 cited
  • 2007Forecasting performance of extreme‐value volatility estimators48 cited
  • 2010Efficient Covariance Estimation for Asynchronous Noisy High‐Frequency Data46 cited
  • 2006Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models45 cited
  • 2008A two-stage realized volatility approach to estimation of diffusion processes with discrete data41 cited
  • 2011On the approximate maximum likelihood estimation for diffusion processes38 cited
  • 2008Estimation and forecasting of stock volatility with range‐based estimators33 cited
  • 2011A comparative study of range‐based stock return volatility estimators for the German market31 cited