Nothing Special   »   [go: up one dir, main page]
create a website
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

Cited: 8

Citations received by this document

Cites: 23

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method. (2015). Jacod, Jean ; Mykland, Per A..
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:8:p:2910-2936.

    Full description at Econpapers || Download paper

  2. 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.

    Full description at Econpapers || Download paper

  3. Estimating the spot covariation of asset prices: Statistical theory and empirical evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Bibinger, Markus ; Reiss, Markus .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:477.

    Full description at Econpapers || Download paper

  4. 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.

    Full description at Econpapers || Download paper

  5. Common price and volatility jumps in noisy high-frequency data. (2014). Winkelmann, Lars ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-037.

    Full description at Econpapers || Download paper

  6. ECB monetary policy surprises: identification through cojumps in interest rates. (2014). Winkelmann, Lars ; Linzert, Tobias ; Bibinger, Markus.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141674.

    Full description at Econpapers || Download paper

  7. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1464.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aıt-Sahalia, Y., Fan, J., Xiu, D., 2010. High-frequency estimates with noisy and asynchronous financial data. Journal of the American Statistical Association 105 (492), 1504–1516.

  2. Abadir, K. M., Magnus, J. R., 2009. Matrix algebra, Vol. 1, Econometric Exercises. Cambridge University Press.
    Paper not yet in RePEc: Add citation now

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

  4. Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A., Shephard, N., 2011. Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and nonsynchronous trading. Journal of Econometrics 162 (2), 149–169.

  5. Bibinger, M., 2011. Efficient covariance estimation for asynchronous noisy high-frequency data. Scandinavian Journal of Statistics 38, 23–45.

  6. Bibinger, M., Hautsch, N., Malec, P., Reiß, M., 2013. Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency. preprint, HU Berlin.

  7. Bibinger, M., Reiß, M., 2013. Spectral estimation of covolatility from noisy observations using local weights. Scandinavian Journal of Statistics, forthcoming.
    Paper not yet in RePEc: Add citation now

  8. Christensen, K., Podolskij, M., Vetter, M., 2013. On covariation estimation for multivariate continuous itˆo semimartingales with noise in non-synchronous observation schemes. Journal of Multivariate Analysis 120, 59–84.

  9. Clement, E., Delattre, S., Gloter, A., 2013. An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility. Stochastic Processes and their Applications 123, 2500–2521.

  10. Fukasawa, M., 2010. Realized volatility with stochastic sampling. Stochastic Processeses and their Applications 120, 209–233.

  11. Gloter, A., Jacod, J., 2001. Diffusions with measurement errors 1 and 2. ESAIM Probability and Statistics 5, 225–242.
    Paper not yet in RePEc: Add citation now

  12. Hayashi, T., Yoshida, N., 2011. Nonsynchronous covariation process and limit theorems. Stochastic Processes and their Applications 121, 2416–2454.

  13. Jacod, J., 1997. On continuous conditional gaussian martingales and stable convergence in law. Seminaire de Probabilities, 232–246.
    Paper not yet in RePEc: Add citation now
  14. Jacod, J., 2012. Statistics and high frequency data. Proceedings of the 7th Seminaire Europeen de Statistique, La Manga, 2007: Statistical methods for stochastic differential equations, edited by M. Kessler, A. Lindner and M. Sørensen.
    Paper not yet in RePEc: Add citation now
  15. Jacod, J., Li, Y., Mykland, P. A., Podolskij, M., Vetter, M., 2009. Microstructure noise in the continous case: the pre-averaging approach. Stochastic Processes and their Applications 119, 2803–2831.
    Paper not yet in RePEc: Add citation now
  16. Jacod, J., Mykland, P. A., 2013. Microstructure noise in the continuous case: Efficiency and the adaptive pre-averging method. working paper.
    Paper not yet in RePEc: Add citation now

  17. Podolskij, M., Vetter, M., 2010. Understanding limit theorems for semimartingales: a short survey. Statistica Neerlandica 64 (3), 329–351.

  18. Reiß, M., 2011. Asymptotic equivalence for inference on the volatility from noisy observations. Annals of Statistics 39 (2), 772–802.
    Paper not yet in RePEc: Add citation now

  19. Renault, E., Sarisoy, C., Werker, B. J. M., 2013. Efficient estimation of integrated volatility and related processes. SSRN: http://ssrn.com/abstract=2293570.

  20. Tao, T., 2012. Topics in random matrix theory. Vol. 132 of Graduate Studies in Mathematics. American Mathematical Society, Providence, RI.
    Paper not yet in RePEc: Add citation now

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

  22. Zhang, L., 2006. Efficient estimation of stochastic volatility using noisy observations: A multi-scale approach. Bernoulli 12 (6), 1019–1043.
    Paper not yet in RePEc: Add citation now

  23. Zhang, L., Mykland, P. A., Aıt-Sahalia, Y., 2005. A tale of two time scales: Determining integrated volatility with noisy high-frequency data. Journal of the American Statistical Association 100 (472), 1394–

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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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.

    Full description at Econpapers || Download paper

  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

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-04 02:50:31 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.