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Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise. (2019). Chen, Richard Y.
In: Papers.
RePEc:arx:papers:1810.04725.

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Cocites: 27

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Citations

Citations received by this document

  1. Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, .
    In: Papers.
    RePEc:arx:papers:2004.01865.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aı̈t-Sahalia, Y., Xiu, D. (2019). Principal component analysis of high-frequency data. Journal of the American Statistical Association 114 (525), 287-303.

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  3. Barndorff-Nielsen, O.E., Hansen, P.R., Lunde, A., Shephard, N. (2008). Designing realized kernels to measure the ex post variation of equity prices in the presence of noise. Econometrica 76 (6), 1481-1536.

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  5. Chen, D., Mykland, P., Zhang, L. (2018). The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data. Working paper.
    Paper not yet in RePEc: Add citation now
  6. Chen, Y. (2019). Inference for volatility functionals of Itô semimartingales observed with jump and noise: time domain and adaptiveness. Working paper.
    Paper not yet in RePEc: Add citation now

  7. Christensen, K., Kinnebrock, S., Podolskij, M. (2010). Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. Journal of Econometrics 159, 116-133.

  8. Clinet, S., Potiron, Y. (2018). Efficient asymptotic variance reduction when estimating volatility in high frequency data. Journal of Econometrics 206, 103-142.

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  10. Jacod, J., Mykland, P. (2015). Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Stochastic Processes and their Applications 125, 2910-2936.

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  14. Jacod, J., Shiryaev, A.N. (2003). Limit Theorems for Stochastic Processes, 2ed. Springer-Verlag Berlin Heidelberg. Department of Statistics University of Chicago Chicago, IL 60637 E-mail: yrchen@uchicago.edu
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  15. Li, J., Liu, Y., Xiu, D. (2019). Efficient estimation of integrated volatility functionals via multiscale Jackknife. The Annals of Statistics 47 (1), 156-176.
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  16. Li, J., Todorov, V., Tauchen, G. (2017). Adaptive estimation of continuous-time regression models using high-frequency data. Journal of Econometrics 200, 36-47.

  17. Li, J., Xiu, D. (2016). Generalized method of integrated moments for high-frequency data. Econometrica 84 (4), 1613-1633.

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  20. Podolskij, M., Vetter, M. (2009). Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps. Bernoulli 15 (3), 634-658.
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  21. Reiß, M. (2011). Asymptotic equivalence for inference on the volatility from noisy observations. The Annals of Statistics 39 (2), 772-802.
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  22. Todorov, V., Tauchen, G. (2012). The realized Laplace transform of volatility. Econometrica 80 (3), 1105-1127.

  23. Xiu, D. (2010). Quasi-maximum likelihood estimation of volatility with high frequency data. Journal of Econometrics 159, 235-250.

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Cocites

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  2. Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Zhang, Lan ; Mykland, Per A ; Chen, Dachuan.
    In: Journal of Econometrics.
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    RePEc:eee:appene:v:358:y:2024:i:c:s0306261923018974.

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  4. High-dimensional estimation of quadratic variation based on penalized realized variance. (2023). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09282-8.

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  5. Sparse online principal component analysis for parameter estimation in factor model. (2023). Qian, Guoqi ; Wei, Chunjie ; Guo, Guangbao.
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  10. Equity clusters through the lens of realized semicorrelations. (2022). Patton, Andrew ; Zhang, Haozhe ; Bollerslev, Tim.
    In: Economics Letters.
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  11. Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2022). Wang, H ; Linton, O ; Bu, R.
    In: Cambridge Working Papers in Economics.
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  14. Inference on the maximal rank of time-varying covariance matrices using high-frequency data. (2021). Winkelmann, Lars ; Reiss, Markus.
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  23. Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, .
    In: Papers.
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  25. Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise. (2019). Chen, Richard Y.
    In: Papers.
    RePEc:arx:papers:1810.04725.

    Full description at Econpapers || Download paper

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