Inference on the Lévy measure in case of noisy observations
Author
Suggested Citation
DOI: 10.1016/j.spl.2014.01.008
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005.
"A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data,"
Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December.
- Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003. "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers 10111, National Bureau of Economic Research, Inc.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008.
"Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise,"
Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series 2006fe05, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford.
- Woerner Jeannette H. C., 2003. "Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models," Statistics & Risk Modeling, De Gruyter, vol. 21(1), pages 47-68, January.
- Figueroa-López, José E. & Houdré, Christian, 2009. "Small-time expansions for the transition distributions of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 119(11), pages 3862-3889, November.
- Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2009.
"Microstructure noise in the continuous case: The pre-averaging approach,"
Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2249-2276, July.
- Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2007. "Microstructure noise in the continuous case: the pre-averaging approach," Technical Reports 2007,41, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Nickl, Richard & Reiß, Markus, 2012. "A Donsker theorem for Lévy measures," SFB 649 Discussion Papers 2012-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Fabienne Comte & Valentine Genon-Catalot, 2010. "Non-parametric estimation for pure jump irregularly sampled or noisy Lévy processes," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 290-313.
- Rainer Dahlhaus, 1983. "Spectral Analysis With Tapered Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(3), pages 163-175, May.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Bibinger, Markus & Neely, Christopher & Winkelmann, Lars, 2019.
"Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 158-184.
- Markus Bibinger & Christopher J. Neely & Lars Winkelmann, 2017. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," Working Papers 2017-12, Federal Reserve Bank of St. Louis.
- Bibinger, Markus & Neely, Christopher & Winkelmann, Lars, 2018. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," IRTG 1792 Discussion Papers 2018-055, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Kato, Kengo & Kurisu, Daisuke, 2020. "Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1159-1205.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Podolskij, Mark & Vetter, Mathias, 2009.
"Bipower-type estimation in a noisy diffusion setting,"
Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2803-2831, September.
- Mark Podolskij & Mathias Vetter, 2008. "Bipower-type estimation in a noisy diffusion setting," CREATES Research Papers 2008-25, Department of Economics and Business Economics, Aarhus University.
- Podolskij, Mark & Vetter, Mathias, 2008. "Bipower-type estimation in a noisy diffusion setting," Technical Reports 2008,24, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Altmeyer, Randolf & Bibinger, Markus, 2015. "Functional stable limit theorems for quasi-efficient spectral covolatility estimators," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4556-4600.
- Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
- Wang, Fangfang, 2014. "Optimal design of Fourier estimator in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 708-722.
- Almut Veraart & Luitgard Veraart, 2012.
"Stochastic volatility and stochastic leverage,"
Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
- Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, Department of Economics and Business Economics, Aarhus University.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014.
"Asymmetric Realized Volatility Risk,"
JRFM, MDPI, vol. 7(2), pages 1-30, June.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos de Trabajo del ICAE 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Tinbergen Institute Discussion Papers 14-075/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Working Papers in Economics 14/20, University of Canterbury, Department of Economics and Finance.
- Silja Kinnebrock & Mark Podolskij, 2008.
"An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models,"
CREATES Research Papers
2008-23, Department of Economics and Business Economics, Aarhus University.
- Silja Kinnebrock & Mark Podolskij, 2008. "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," OFRC Working Papers Series 2008fe25, Oxford Financial Research Centre.
- Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, vol. 173(1), pages 83-107.
- Neil Shephard & Dacheng Xiu, 2012.
"Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices,"
Economics Series Working Papers
604, University of Oxford, Department of Economics.
- Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers 2012-W04, Economics Group, Nuffield College, University of Oxford.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009.
"Realized Volatility Risk,"
CARF F-Series
CARF-F-197, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2010.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," Working Papers in Economics 10/26, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Marcel Scharth, 2010. "Realized Volatility Risk," KIER Working Papers 753, Kyoto University, Institute of Economic Research.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
- David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers 13-092/III, Tinbergen Institute.
- Li, M. Z. & Linton, O., 2021. "Robust Estimation of Integrated and Spot Volatility," Cambridge Working Papers in Economics 2115, Faculty of Economics, University of Cambridge.
- Maria Elvira Mancino & Simona Sanfelici, 2012.
"Estimation of quarticity with high-frequency data,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 607-622, December.
- Maria Elvira Mancino & Simona Sanfelici, 2011. "Estimation of Quarticity with High Frequency Data," Working Papers - Mathematical Economics 2011-06, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Jan 2012.
- Liao, Yin & Anderson, Heather M., 2019.
"Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices,"
Journal of Banking & Finance, Elsevier, vol. 99(C), pages 252-274.
- Yin Liao & Heather M. Anderson, 2011. "Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices," Monash Econometrics and Business Statistics Working Papers 9/11, Monash University, Department of Econometrics and Business Statistics.
- Kim, Jihyun & Meddahi, Nour, 2020. "Volatility regressions with fat tails," Journal of Econometrics, Elsevier, vol. 218(2), pages 690-713.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013.
"Modelling microstructure noise with mutually exciting point processes,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
- Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2017. "Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment," CREATES Research Papers 2017-30, Department of Economics and Business Economics, Aarhus University.
- Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010.
"Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 116-133, November.
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers 2009-45, Department of Economics and Business Economics, Aarhus University.
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print hal-00732537, HAL.
- Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen, 2018.
"Risk Everywhere: Modeling and Managing Volatility,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2729-2773.
- Pedersen, Lasse Heje & Bollerslev, Tim & Hood, Benjamin & Huss, John, 2018. "Risk Everywhere: Modeling and Managing Volatility," CEPR Discussion Papers 12687, C.E.P.R. Discussion Papers.
- Xiu, Dacheng, 2010. "Quasi-maximum likelihood estimation of volatility with high frequency data," Journal of Econometrics, Elsevier, vol. 159(1), pages 235-250, November.
- Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2013.
"On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes,"
Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 59-84.
- Kim Christensen & Mark Podolskij & Mathias Vetter, 2011. "On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes," CREATES Research Papers 2011-53, Department of Economics and Business Economics, Aarhus University.
More about this item
Keywords
High frequency data; Lévy process; Microstructure noise; Nonparametric statistics; Weak convergence;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:87:y:2014:i:c:p:125-133. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.