MICROSTRUCTURE NOISE, REALIZED VARIANCE, AND OPTIMAL SAMPLING (2005)

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by Federico M. Bandi , Jeffrey R. Russell
Citations:49 - 5 self

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15 Edgeworth expansions for realized volatility and related estimators – Lan Zhang, Per A. Mykland, Yacine Aït-sahalia - 2005
20 BOOTSTRAPPING REALIZED VOLATILITY – Sílvia Gonçalves, Nour Meddahi
32 Variation, jumps, market frictions and high frequency data in financial econometrics – Ole E. Barndorff-nielsen, Neil Shephard - 2005
12 Estimating Quadratic Variation when Quoted Prices Jump by a Constant Increment – Jeremy Large
12 Out of Sample Forecasts of Quadratic Variation – Yacine Aït-sahalia, Loriano Mancini - 2008
64 Separating microstructure noise from volatility – Federico M. Bandi, Jeffrey R. Russell - 2006
Conference on Market Microstructure, the Oxford-Man Institute Conference on the Financial Econometrics of Vast Data, and the Christmas Meeting of German Economists – Francis X. Diebold, Georg Strasser, Abroad We, Ole E. Barndorff-nielsen, Peter R. Hansen, Asger Lunde - 2012
Integrated Volatility in Deep and Liquid Financial Markets – Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson, Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson, Mico Loretan - 2008
1 Quadratic Variation by Markov Chains – Peter Reinhard Hansen, Guillaume Horel - 2009
9 Realized Volatility Forecasting and Market Microstructure Noise – Torben G. Andersen, Tim Bollerslev, Nour Meddahi - 2009
3 Supplement to “High frequency market microstructure noise estimates and liquidity measures.” DOI: 10.1214/08-AOAS200SUPP – Yacine Aït-sahalia, Jialin Yu - 2009
56 Ultra high frequency volatility estimation with dependent microstructure noise – Yacine Aït-sahalia, Per A. Mykland, Lan Zhang
6 Robustness of Fourier Estimator of Integrated Volatility in the Presence of Microstructure Noise – Maria Elvira, Mancino Simona Sanfelici
28 Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise – Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, Neil Shephard - 2004
1. THE ESTIMATION OF ACTUAL VOLATILITY: THE IDEAL CASE – Financial Econometrics, Per A. Mykl, Lan Zhang
4 Bootstrapping realized multivariate volatility measures – Prosper Dovonon, Sílvia Gonçalves, Nour Meddahi
6 Do high-frequency measures of volatility improve forecasts of return distributions? – John M. Maheu , Thomas H. Mccurdy
unknown title – Yingying Li, Per A. Mykland - 709
12 Are Volatility Estimators Robust with Respect to Modeling Assumptions – Yingying Li, Per A. Mykland - 2007