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Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

Citations

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Cited by:

  1. Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019. "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 419-435, July.
  2. Vladimír Holý & Petra Tomanová, 2023. "Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 463-485, June.
  3. repec:hum:wpaper:sfb649dp2010-056 is not listed on IDEAS
  4. 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.
  5. Hounyo, Ulrich & Gonçalves, Sílvia & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility Under Market Microstructure Noise," Econometric Theory, Cambridge University Press, vol. 33(4), pages 791-838, August.
  6. Schulze, Franziska, 2010. "Spatial dependencies in German matching functions," SFB 649 Discussion Papers 2010-054, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  7. Timo Dimitriadis & Roxana Halbleib & Jeannine Polivka & Jasper Rennspies & Sina Streicher & Axel Friedrich Wolter, 2022. "Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models," Papers 2212.11833, arXiv.org, revised Dec 2023.
  8. Saef, Danial & Nagy, Odett & Sizov, Sergej & Härdle, Wolfgang, 2021. "Understanding jumps in high frequency digital asset markets," IRTG 1792 Discussion Papers 2021-019, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  9. Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2018. "Theoretical and empirical analysis of trading activity," Papers 1803.04892, arXiv.org, revised Oct 2018.
  10. Danial Saef & Odett Nagy & Sergej Sizov & Wolfgang Karl Hardle, 2021. "Understanding jumps in high frequency digital asset markets," Papers 2110.09429, arXiv.org.
  11. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012. "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, vol. 169(1), pages 75-93.
  12. Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010. "Models for heavy-tailed asset returns," SFB 649 Discussion Papers 2010-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  13. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
  14. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
  15. Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe, 2010. "FX smile in the Heston model," SFB 649 Discussion Papers 2010-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  16. Li, Z. Merrick & Laeven, Roger J.A. & Vellekoop, Michel H., 2020. "Dependent microstructure noise and integrated volatility estimation from high-frequency data," Journal of Econometrics, Elsevier, vol. 215(2), pages 536-558.
  17. Härdle, Wolfgang Karl & Chen, Shi & Liang, Chong & Schienle, Melanie, 2018. "Time-varying Limit Order Book Networks," IRTG 1792 Discussion Papers 2018-016, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  18. Podolskij, Mark & Veliyev, Bezirgen & Yoshida, Nakahiro, 2017. "Edgeworth expansion for the pre-averaging estimator," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3558-3595.
  19. Jacod, Jean & Li, Yingying & Zheng, Xinghua, 2019. "Estimating the integrated volatility with tick observations," Journal of Econometrics, Elsevier, vol. 208(1), pages 80-100.
  20. repec:hum:wpaper:sfb649dp2010-054 is not listed on IDEAS
  21. Ulrich Hounyo & Bezirgen Veliyev, 2016. "Validity of Edgeworth expansions for realized volatility estimators," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
  22. Yafeng Shi & Tingting Ying & Yanlong Shi & Chunrong Ai, 2020. "A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1025-1034, November.
  23. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
  24. Chaker, Selma, 2017. "On high frequency estimation of the frictionless price: The use of observed liquidity variables," Journal of Econometrics, Elsevier, vol. 201(1), pages 127-143.
  25. Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, Department of Economics and Business Economics, Aarhus University.
  26. Carol Alexander & Daniel F. Heck & Andreas Kaeck, 2022. "The Role of Binance in Bitcoin Volatility Transmission," Applied Mathematical Finance, Taylor & Francis Journals, vol. 29(1), pages 1-32, January.
  27. Hounyo, Ulrich, 2017. "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading," Journal of Econometrics, Elsevier, vol. 197(1), pages 130-152.
  28. Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
  29. Linton, Oliver & Whang, Yoon-Jae & Yen, Yu-Min, 2016. "A nonparametric test of a strong leverage hypothesis," Journal of Econometrics, Elsevier, vol. 194(1), pages 153-186.
  30. Yuta Koike, 2017. "Time endogeneity and an optimal weight function in pre-averaging covariance estimation," Statistical Inference for Stochastic Processes, Springer, vol. 20(1), pages 15-56, April.
  31. Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
  32. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 89-121.
  33. Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  34. Christensen, K. & Podolskij, M. & Thamrongrat, N. & Veliyev, B., 2017. "Inference from high-frequency data: A subsampling approach," Journal of Econometrics, Elsevier, vol. 197(2), pages 245-272.
  35. 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.
  36. repec:hum:wpaper:sfb649dp2010-059 is not listed on IDEAS
  37. Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann, 2023. "A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches," CQE Working Papers 10523, Center for Quantitative Economics (CQE), University of Muenster.
  38. Bollerslev, Tim & Meddahi, Nour & Nyawa, Serge, 2019. "High-dimensional multivariate realized volatility estimation," Journal of Econometrics, Elsevier, vol. 212(1), pages 116-136.
  39. Basteck, Christian & Daniëls, Tijmen R., 2010. "Every symmetric 3 x 3 global game of strategic complementarities is noise independent," SFB 649 Discussion Papers 2010-061, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  40. Wang, Jiazhen & Jiang, Yuexiang & Zhu, Yanjian & Yu, Jing, 2020. "Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S," Economic Modelling, Elsevier, vol. 91(C), pages 428-444.
  41. Wiebach, Nicole & Hildebrandt, Lutz, 2010. "Context effects as customer reaction on delisting of brands," SFB 649 Discussion Papers 2010-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  42. repec:hum:wpaper:sfb649dp2014-055 is not listed on IDEAS
  43. repec:hum:wpaper:sfb649dp2010-050 is not listed on IDEAS
  44. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
  45. repec:hum:wpaper:sfb649dp2010-055 is not listed on IDEAS
  46. Grith, Maria & Krätschmer, Volker, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers 2010-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  47. Peter Malec, 2016. "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics 1633, Faculty of Economics, University of Cambridge.
  48. repec:hum:wpaper:sfb649dp2010-047 is not listed on IDEAS
  49. Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2012. "Jump robust daily covariance estimation by disentangling variance and correlation components," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 2993-3005.
  50. Zhang, Chuanhai & Liu, Zhi & Liu, Qiang, 2021. "Jumps at ultra-high frequency: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  51. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2010. "Nonparametric regression with nonparametrically generated covariates," SFB 649 Discussion Papers 2010-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  52. James, Robert & Leung, Henry & Prokhorov, Artem, 2023. "A machine learning attack on illegal trading," Journal of Banking & Finance, Elsevier, vol. 148(C).
  53. Vladim'ir Hol'y & Petra Tomanov'a, 2020. "Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data," Papers 2003.13062, arXiv.org, revised Dec 2021.
  54. repec:hum:wpaper:sfb649dp2010-049 is not listed on IDEAS
  55. Rui Da & Dacheng Xiu, 2021. "When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility," Econometrica, Econometric Society, vol. 89(6), pages 2787-2825, November.
  56. repec:hum:wpaper:sfb649dp2010-051 is not listed on IDEAS
  57. Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  58. Aït-Sahalia, Yacine & Xiu, Dacheng, 2016. "Increased correlation among asset classes: Are volatility or jumps to blame, or both?," Journal of Econometrics, Elsevier, vol. 194(2), pages 205-219.
  59. Chen, Shi & Härdle, Wolfgang & Schienle, Melanie, 2021. "High-dimensional statistical learning techniques for time-varying limit order book networks," IRTG 1792 Discussion Papers 2021-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  60. repec:hum:wpaper:sfb649dp2010-045 is not listed on IDEAS
  61. repec:hum:wpaper:sfb649dp2010-061 is not listed on IDEAS
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