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The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:109:y:2013:i:1:p:224-249.

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  2. Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. (2024). Tang, Cheng Yong ; Liu, Cheng ; Hu, Qiao ; Chang, Jinyuan.
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  5. Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks. (2023). Bouri, Elie ; Gupta, Rangan ; Plakandaras, Vasilios ; Foglia, Matteo.
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  6. Explaining intraday crude oil returns with higher order risk-neutral moments. (2023). Wong, Patrick.
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  9. Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai.
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  18. Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2022). Sanfelici, Simona ; Curato, Imma Valentina.
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  22. Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo.
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  25. The impact of the leverage effect on the implied volatility smile: evidence for the German option market. (2021). Stockl, S ; Stadler, J ; Rathgeber, A W.
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  27. An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo.
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  36. Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo.
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  37. A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA. (2019). Pigato, Paolo ; Lejay, Antoine.
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  38. Volatility index and the return–volatility relation: Intraday evidence from Chinese options market. (2019). Yu, Xiaoli ; Li, Jupeng ; Luo, Xingguo.
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  40. The Impact of Financial Leverage on the Variance of Stock Returns. (2019). Yagil, Yossi ; Aharon, David Yechiam.
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  42. The leverage effect and the basket-index put spread. (2019). Bai, Jennie ; Yang, Fan ; Goldstein, Robert S.
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  44. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus.
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  45. Estimating the integrated volatility with tick observations. (2019). Jacod, Jean ; Zheng, Xinghua ; Li, Yingying.
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  51. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2018). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus.
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  53. The microstructural foundations of leverage effect and rough volatility. (2018). Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Euch, Omar.
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  54. Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence. (2018). de Paula, Fernando Henrique ; Moura, Guilherme Valle ; Caldeira, Joo Frois .
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  58. Testing against constant factor loading matrix with large panel high-frequency data. (2018). Kong, Xin-Bing ; Liu, Cheng.
    In: Journal of Econometrics.
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  59. Estimation of the Continuous and Discontinuous Leverage Effects. (2017). Fan, Jianqing ; Ait-Sahalia, Yacine ; Yang, Xiye ; Wang, Christina Dan.
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  60. Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency. (2017). Kalnina, Ilze ; Xiu, Dacheng.
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Cocites

Documents in RePEc which have cited the same bibliography

  1. Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen.
    In: Papers.
    RePEc:arx:papers:2006.12039.

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  2. A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe .
    In: Papers.
    RePEc:arx:papers:1803.04894.

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  3. Ambiguous Correlation. (2018). Halevy, Yoram ; Epstein, Larry.
    In: Microeconomics.ca working papers.
    RePEc:ubc:pmicro:yoram_halevy-2017-2.

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  4. Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:37:y:2018:i:c:p:97-119.

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  5. Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Jing, Bing-Yi ; Kong, Xin-Bing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:204:y:2018:i:1:p:18-32.

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  6. Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Li, Cui-Xia ; Kong, Xin-Bing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:203:y:2018:i:1:p:69-79.

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  7. Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

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  8. Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon.
    In: Papers.
    RePEc:arx:papers:1701.01185.

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  9. Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann.
    In: Papers.
    RePEc:arx:papers:1603.05700.

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  10. Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y.
    In: Papers.
    RePEc:arx:papers:1512.06159.

    Full description at Econpapers || Download paper

  11. The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). , Philip ; Ng, F C ; Li, W K.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:35:y:2017:i:4:p:513-527.

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  12. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:20:y:2017:i:1:d:10.1007_s11203-016-9135-3.

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  13. LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR. (2017). Samoura, Yacouba ; Guillin, Arnaud ; Djellout, Hacene .
    In: Post-Print.
    RePEc:hal:journl:hal-01082903.

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  14. Estimation of the realized (co-)volatility vector: Large deviations approach. (2017). Djellout, Hacene ; Samoura, Yacouba ; Guillin, Arnaud .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:127:y:2017:i:9:p:2926-2960.

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  15. Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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  16. Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Shephard, Neil ; Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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  17. Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

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  18. Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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  19. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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  20. Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
    In: Papers.
    RePEc:arx:papers:1602.05489.

    Full description at Econpapers || Download paper

  21. Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. (2016). Zou, Jian ; Kim, Donggyu ; Wang, Yazhen.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:126:y:2016:i:11:p:3527-3577.

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  22. Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189.

    Full description at Econpapers || Download paper

  23. Intra-day realized volatility for European and USA stock indices. (2016). Floros, Christos ; Degiannakis, Stavros.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:29:y:2016:i:c:p:24-41.

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  24. Copula structured M4 processes with application to high-frequency financial data. (2016). Zhang, Zhengjun ; Zhu, Bin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:231-241.

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  25. Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Ait-Sahalia, Yacine ; Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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  26. A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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  27. Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Park, Sujin ; Hong, Seok Young .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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  28. Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps. (2016). Ho, Michael ; Xin, Jack .
    In: Papers.
    RePEc:arx:papers:1602.02185.

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  29. Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per .
    In: Papers.
    RePEc:arx:papers:1507.01033.

    Full description at Econpapers || Download paper

  30. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-10.

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  31. Intra-Day Realized Volatility for European and USA Stock Indices. (2015). Floros, Christos ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:64940.

    Full description at Econpapers || Download paper

  32. Functional stable limit theorems for quasi-efficient spectral covolatility estimators. (2015). Altmeyer, Randolf ; Bibinger, Markus.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:12:p:4556-4600.

    Full description at Econpapers || Download paper

  33. Econometrics of co-jumps in high-frequency data with noise. (2015). Winkelmann, Lars ; Bibinger, Markus.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:184:y:2015:i:2:p:361-378.

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  34. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Bibinger, Markus ; Reiss, Markus .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-055.

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  35. Functional stable limit theorems for efficient spectral covolatility estimators. (2014). Bibinger, Markus ; Altmeyer, Randolf .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-005.

    Full description at Econpapers || Download paper

  36. LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR. (2014). Djellout, Hacene ; Samoura, Yacouba ; Guillin, Arnaud .
    In: Working Papers.
    RePEc:hal:wpaper:hal-01082903.

    Full description at Econpapers || Download paper

  37. Large and moderate deviations of realized covolatility. (2014). Djellout, Hacene ; Samoura, Yacouba .
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:86:y:2014:i:c:p:30-37.

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  38. Quasi-likelihood analysis for nonsynchronously observed diffusion processes. (2014). Yoshida, Nakahiro ; Ogihara, Teppei .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:124:y:2014:i:9:p:2954-3008.

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  39. Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling. (2014). Koike, Yuta.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:124:y:2014:i:8:p:2699-2753.

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  40. A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. (2014). Liu, Cheng ; Tang, Cheng Yong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:2:p:217-232.

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  41. Covariance estimation using high-frequency data: Sensitivities of estimation methods. (2014). Haugom, Erik ; Veka, Steinar ; Westgaard, Sjur ; Lien, Gudbrand.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:43:y:2014:i:c:p:416-425.

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  42. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Elst, Harry Vander ; Veredas, David.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws142416.

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  43. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Veredas, David ; Elst, Harry Vander.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:es142416.

    Full description at Econpapers || Download paper

  44. Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading. (2014). Hounyo, Ulrich.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-35.

    Full description at Econpapers || Download paper

  45. Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-05.

    Full description at Econpapers || Download paper

  46. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:1:p:224-249.

    Full description at Econpapers || Download paper

  47. Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. (2012). Corsi, Fulvio ; Audrino, Francesco ; Peluso, Stefano.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2012:02.

    Full description at Econpapers || Download paper

  48. An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory. (2012). Bibinger, Markus.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:122:y:2012:i:6:p:2411-2453.

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  49. Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices. (2011). Liao, Yin ; Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2011-9.

    Full description at Econpapers || Download paper

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