Discrete sine transform for multi-scale realized volatility measures§
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DOI: 10.1080/14697688.2010.490561
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References listed on IDEAS
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004.
"Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise,"
OFRC Working Papers Series
2004fe20, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers 2004-W28, Economics Group, Nuffield College, University of Oxford.
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Cited by:
- 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.
- Pan, Zhiyuan & Liu, Li, 2018. "Forecasting stock return volatility: A comparison between the roles of short-term and long-term leverage effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 168-180.
- Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022. "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, vol. 137(C).
- Bibinger, Markus & Winkelmann, Lars, 2013. "Econometrics of co-jumps in high-frequency data with noise," SFB 649 Discussion Papers 2013-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:hum:wpaper:sfb649dp2014-037 is not listed on IDEAS
- Bibinger, Markus & Winkelmann, Lars, 2014. "Common price and volatility jumps in noisy high-frequency data," SFB 649 Discussion Papers 2014-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Markus Bibinger & Markus Reiß, 2014. "Spectral Estimation of Covolatility from Noisy Observations Using Local Weights," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(1), pages 23-50, March.
- Jacod, Jean & Mykland, Per A., 2015. "Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2910-2936.
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