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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Evaluating the performance of futures hedging using multivariate realized volatility
Masato Ubukata,Toshiaki Watanabe +1 more
TL;DR: In this article, the authors investigated the performance of a conditional hedging model using the realized covariance measure (RCM) with noisy high-frequency data and employed a bivariate realized exponential GARCH (BREG) model with some RCMs to estimate conditional optimal hedge ratios in the Japanese stock and futures markets.
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Exponential realized garch-itô volatility models
TL;DR: In this paper , a novel Itô diffusion process is introduced to model high-frequency financial data that can accommodate low-frequency volatility dynamics by embedding the discrete-time nonlinear exponential generalized autoregressive conditional heteroskedasticity (GARCH) structure with log-integrated volatility in a continuous instantaneous volatility process.
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The Role of Binance in Bitcoin Volatility Transmission
TL;DR: In this article, high-frequency realised volatility dynamics and spillovers in the bitcoin market were analyzed, focusing on two pairs: bitcoin against the US dollar and trading bitcoin against tether.
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Volatility Estimation and Jump Testing via Realized Information Variation
Weiyi Liu,Mingjin Wang +1 more
TL;DR: In this article, two jump-robust estimators of integrated volatility, namely realized information variation (RIV) and realized information power variation (RIPV), were proposed, which preserves continuous variation and eliminates jump variation asymptotically.
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A continuous and efficient fundamental price on the discrete order book grid
TL;DR: In this paper, the authors developed a model of liquidity provision in financial markets by adapting the Madhavan et al. (1997) price formation model to realistic order books with quote discretization and liquidity rebates.
References
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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.
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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.
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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.