Microstructure Noise in the Continuous Case: The Pre-Averaging Approach ∗
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TLDR
In this article, a generalized pre-averaging approach for estimating the integrated volatility is presented, which can generate rate optimal estimators with convergence rate n 1/4. But the convergence rate is not guaranteed.About:
This article is published in Stochastic Processes and their Applications.The article was published on 2009-07-01 and is currently open access. It has received 525 citations till now. The article focuses on the topics: Stochastic volatility & Estimator.read more
Citations
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Functional Estimation and Change Detection for Nonstationary Time Series
TL;DR: In this paper, structural breaks in time series should ideally be sensitive to breaks in the parameter of interest, while being robust to nuisance changes, and statistical analysis thus needs to allow for s...
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A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data
TL;DR: A direct approach to estimate the risk for vast portfolios using asynchronous and noisy high-frequency data and it is demonstrated that the mean squared error of the risk estimator can be decreased by choosing an optimal tuning parameter depending on the allocation plan.
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Optimal design of Fourier estimator in the presence of microstructure noise
TL;DR: By examining the finite sample properties of the Fourier estimator, an easy-to-implement procedure is developed for the optimal cutting frequency which minimizes the mean squared error in the presence of the microstructure noise, along with a modified Whittle likelihood approach for the estimation of the signal- to-noise ratio.
Dissertation
Essays in Applied Financial Econometrics
TL;DR: In Applied Financial Econometrics as discussed by the authors, the authors present an analysis of the relationship between applied financial metrics and applied financial models. But they do not discuss the relationship among them.
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A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
Yucheng Sun,Wen Xu +1 more
TL;DR: This article focuses on consistent estimations of the number of common factors, the integrated covariance matrix and its inverse, based on the flat-top realized kernels introduced by Varneskov, and demonstrates its value for capturing time-varying covariations and portfolio allocation.
References
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Journal ArticleDOI
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
TL;DR: In this paper, a closed-form solution for the price of a European call option on an asset with stochastic volatility is derived based on characteristi c functions and can be applied to other problems.
Book
Limit Theorems for Stochastic Processes
Jean Jacod,Albert N. Shiryaev +1 more
TL;DR: In this article, the General Theory of Stochastic Processes, Semimartingales, and Stochastically Integrals is discussed and the convergence of Processes with Independent Increments is discussed.
Journal ArticleDOI
Answering the skeptics: yes, standard volatility models do provide accurate forecasts*
TL;DR: In this article, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models and it has been shown that volatility models produce strikingly accurate inter-daily forecasts for the latent volatility factor that would be of interest in most financial applications.
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Modeling and forecasting realized volatility
TL;DR: In this article, the authors provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency volatility and return distributions.
Journal ArticleDOI
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
TL;DR: In this article, the effective bid-ask spread is measured by Spread = 2−cov where cov is the first-order serial covariance of price changes, and is shown empirically to be closely related to firm size.