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High-Frequency Financial Econometrics

Citations

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Cited by:

  1. Maria Elvira Mancino & Tommaso Mariotti & Giacomo Toscano, 2022. "Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise," Papers 2209.08967, arXiv.org.
  2. Endres, Sylvia & Stübinger, Johannes, 2017. "Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes," FAU Discussion Papers in Economics 17/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  3. Jos'e E. Figueroa-L'opez & Bei Wu, 2020. "Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging," Papers 2004.01865, arXiv.org, revised Feb 2022.
  4. Naoto Kunitomo & Hiroumi Misaki & Seisho Sato, 2015. "The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 333-368, September.
  5. Chen, Richard Y. & Mykland, Per A., 2017. "Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data," Journal of Econometrics, Elsevier, vol. 200(1), pages 79-103.
  6. Anisha Ghosh & Oliver Linton, 2019. "Estimation with Mixed Data Frequencies: A Bias-Correction Approach," CeMMAP working papers CWP65/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  7. Della Maestra, Laetitia & Hoffmann, Marc, 2023. "The LAN property for McKean–Vlasov models in a mean-field regime," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 109-146.
  8. Golosnoy, Vasyl & Gribisch, Bastian & Seifert, Miriam Isabel, 2019. "Exponential smoothing of realized portfolio weights," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 222-237.
  9. Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva, 2016. "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers w0229, New Economic School (NES).
  10. Casini, Alessandro & Perron, Pierre, 2021. "Continuous record Laplace-based inference about the break date in structural change models," Journal of Econometrics, Elsevier, vol. 224(1), pages 3-21.
  11. Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
  12. Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2020. "Statistical inferences for price staleness," Journal of Econometrics, Elsevier, vol. 218(1), pages 32-81.
  13. Tommaso Mariotti & Fabrizio Lillo & Giacomo Toscano, 2022. "From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution," Papers 2202.12137, arXiv.org, revised Sep 2022.
  14. Ghosh, Anisha & Linton, Oliver, 2023. "Estimation with mixed data frequencies: A bias-correction approach," Journal of Empirical Finance, Elsevier, vol. 74(C).
  15. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2024. "Maximum likelihood estimation of latent Markov models using closed-form approximations," Journal of Econometrics, Elsevier, vol. 240(2).
  16. Mustafayeva, Konul & Wang, Weining, 2020. "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers 2020-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  17. Hallin, Marc & La Vecchia, Davide, 2020. "A Simple R-estimation method for semiparametric duration models," Journal of Econometrics, Elsevier, vol. 218(2), pages 736-749.
  18. Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," JRFM, MDPI, vol. 13(12), pages 1-33, December.
  19. Bu, Ruijun & Hizmeri, Rodrigo & Izzeldin, Marwan & Murphy, Anthony & Tsionas, Mike, 2023. "The contribution of jump signs and activity to forecasting stock price volatility," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 144-164.
  20. Carsten H. Chong & Viktor Todorov, 2023. "Asymptotic Expansions for High-Frequency Option Data," Papers 2304.12450, arXiv.org.
  21. Aït-Sahalia, Yacine & Kalnina, Ilze & Xiu, Dacheng, 2020. "High-frequency factor models and regressions," Journal of Econometrics, Elsevier, vol. 216(1), pages 86-105.
  22. Charles Shaw, 2018. "Conditional heteroskedasticity in crypto-asset returns," Papers 1804.07978, arXiv.org, revised Dec 2018.
  23. Aït-Sahalia, Yacine & Xiu, Dacheng, 2019. "A Hausman test for the presence of market microstructure noise in high frequency data," Journal of Econometrics, Elsevier, vol. 211(1), pages 176-205.
  24. Mathias Vetter, 2021. "A universal approach to estimate the conditional variance in semimartingale limit theorems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(6), pages 1089-1125, December.
  25. Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," Papers 2011.08343, arXiv.org.
  26. René Carmona & Kevin Webster, 2019. "The self-financing equation in limit order book markets," Finance and Stochastics, Springer, vol. 23(3), pages 729-759, July.
  27. Yuheng Zheng & Zihan Ding, 2024. "Reinforcement Learning in High-frequency Market Making," Papers 2407.21025, arXiv.org, revised Aug 2024.
  28. Jean Jacod, 2019. "Estimation of volatility in a high-frequency setting: a short review," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 351-385, December.
  29. Dovonon, Prosper & Taamouti, Abderrahim & Williams, Julian, 2022. "Testing the eigenvalue structure of spot and integrated covariance," Journal of Econometrics, Elsevier, vol. 229(2), pages 363-395.
  30. Zhe Wang & Ryan Martin, 2021. "Gibbs posterior inference on a Levy density under discrete sampling," Papers 2109.06567, arXiv.org.
  31. Eduard Silantyev, 2019. "Order flow analysis of cryptocurrency markets," Digital Finance, Springer, vol. 1(1), pages 191-218, November.
  32. Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2017. "Volatility, information feedback and market microstructure noise: A tale of two regimes," CFS Working Paper Series 569, Center for Financial Studies (CFS).
  33. 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.
  34. Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023. "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics 111537, London School of Economics and Political Science, LSE Library.
  35. Richard Y. Chen & Per A. Mykland, 2015. "Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data," Papers 1512.06159, arXiv.org, revised Oct 2018.
  36. Alessandro Casini, 2018. "Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework," Papers 1803.10883, arXiv.org, revised Dec 2018.
  37. Jos'e E. Figueroa-L'opez & Cheng Li & Jeffrey Nisen, 2018. "Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes," Papers 1811.07499, arXiv.org, revised Apr 2020.
  38. Flood, M. D. & Jagadish, H. V. & Raschid, L., 2016. "Big data challenges and opportunities in financial stability monitoring," Financial Stability Review, Banque de France, issue 20, pages 129-142, April.
  39. Rene Carmona & Kevin Webster, 2019. "Applications of a New Self-Financing Equation," Papers 1905.04137, arXiv.org.
  40. Takaki Hayashi & Yuta Koike, 2017. "Multi-scale analysis of lead-lag relationships in high-frequency financial markets," Papers 1708.03992, arXiv.org, revised May 2020.
  41. Gustavo Fruet Dias & Karsten Schweiker, 2024. "Integrated Variance Estimation for Assets Traded in Multiple Venues," University of East Anglia School of Economics Working Paper Series 2024-04, School of Economics, University of East Anglia, Norwich, UK..
  42. Tim Bollerslev & Jia Li & Yuan Xue, 2018. "Volume, Volatility, and Public News Announcements," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(4), pages 2005-2041.
  43. Bibinger, Markus & Madensoy, Mehmet, 2019. "Change-point inference on volatility in noisy Itô semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 4878-4925.
  44. Chen, Jilong & Xu, Liao & Xu, Hao, 2022. "The impact of COVID-19 on commodity options market: Evidence from China," Economic Modelling, Elsevier, vol. 116(C).
  45. Li, Yingying & Liu, Guangying & Zhang, Zhiyuan, 2022. "Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps," Journal of Econometrics, Elsevier, vol. 229(2), pages 422-451.
  46. Yang, Xiye, 2020. "Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests," Journal of Econometrics, Elsevier, vol. 215(2), pages 486-516.
  47. Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely, 2023. "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Papers 2309.15705, arXiv.org.
  48. Winkelmann, Lars & Yao, Wenying, 2020. "Cojump anchoring," Discussion Papers 2020/17, Free University Berlin, School of Business & Economics.
  49. Hacène Djellout & Hui Jiang, 2018. "Large Deviations of the Threshold Estimator of Integrated (Co-)Volatility Vector in the Presence of Jumps," Journal of Theoretical Probability, Springer, vol. 31(3), pages 1606-1624, September.
  50. 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).
  51. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Swiss Finance Institute Research Paper Series 23-44, Swiss Finance Institute.
  52. Yuping Song & Weijie Hou & Zhengyan Lin, 2022. "Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 53-82, January.
  53. Naoto Kunitomo & Daisuke Kurisu, 2017. "Effects of Jumps and Small Noise in High-Frequency Financial Econometrics," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(1), pages 39-73, March.
  54. Maria Elvira Mancino & Simona Sanfelici, 2020. "Identifying financial instability conditions using high frequency data," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 221-242, January.
  55. 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.
  56. José E. Figueroa-López & Cheng Li & Jeffrey Nisen, 2020. "Optimal iterative threshold-kernel estimation of jump diffusion processes," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 517-552, October.
  57. Dennis Schroers, 2024. "Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions," Papers 2401.16286, arXiv.org, revised Jun 2024.
  58. Lingohr, Daniel & Müller, Gernot, 2021. "Conditionally independent increment processes for modeling electricity prices with regard to renewable power generation," Energy Economics, Elsevier, vol. 103(C).
  59. Alessandro Casini & Pierre Perron, 2018. "Continuous Record Asymptotics for Change-Points Models," Papers 1803.10881, arXiv.org, revised Nov 2021.
  60. Shaw, Charles, 2018. "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper 90437, University Library of Munich, Germany.
  61. M.E. Mancino & S. Scotti & G. Toscano, 2020. "Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
  62. Alessandro Casini & Pierre Perron, 2015. "Continuous Record Asymptotics for Structural Change Models," Boston University - Department of Economics - Working Papers Series WP2018-010, Boston University - Department of Economics, revised Nov 2017.
  63. Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Working Papers 202212, University of Liverpool, Department of Economics.
  64. Li, Jia & Liao, Zhipeng, 2020. "Uniform nonparametric inference for time series," Journal of Econometrics, Elsevier, vol. 219(1), pages 38-51.
  65. Prosper Dovonon & Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2019. "Bootstrapping High-Frequency Jump Tests," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 793-803, April.
  66. Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics 2218, Faculty of Economics, University of Cambridge.
  67. Kwok, Simon, 2020. "Nonparametric Inference of Jump Autocorrelation," Working Papers 2020-09, University of Sydney, School of Economics, revised Jan 2021.
  68. Behme, Anita & Chong, Carsten & Klüppelberg, Claudia, 2015. "Superposition of COGARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1426-1469.
  69. 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.
  70. Benos, Evangelos & Zikes, Filip, 2016. "Liquidity determinants in the UK gilt market," Bank of England working papers 600, Bank of England.
  71. Weijia Peng & Chun Yao, 2023. "Sector-level equity returns predictability with machine learning and market contagion measure," Empirical Economics, Springer, vol. 65(4), pages 1761-1798, October.
  72. Gianluca P. M. Virgilio & Manuel Ernesto Paz López, 2024. "Revisiting noise—Fischer Black’s noise at the time of high-frequency trading," Risk Management, Palgrave Macmillan, vol. 26(4), pages 1-22, December.
  73. Giacomo Toscano & Maria Cristina Recchioni, 2022. "Bias-optimal vol-of-vol estimation: the role of window overlapping," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 137-185, June.
  74. Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
  75. Reisenhofer, Rafael & Bayer, Xandro & Hautsch, Nikolaus, 2022. "HARNet: A convolutional neural network for realized volatility forecasting," CFS Working Paper Series 680, Center for Financial Studies (CFS).
  76. Zhao, X. & Hong, S. Y. & Linton, O. B., 2024. "Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach," Cambridge Working Papers in Economics 2449, Faculty of Economics, University of Cambridge.
  77. 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.
  78. Markus Bibinger, 2024. "Probabilistic models and statistics for electronic financial markets in the digital age," Papers 2406.07388, arXiv.org.
  79. Zhang, Congshan & Li, Jia & Bollerslev, Tim, 2022. "Occupation density estimation for noisy high-frequency data," Journal of Econometrics, Elsevier, vol. 227(1), pages 189-211.
  80. Liu, Qiang & Liu, Yiqi & Liu, Zhi, 2018. "Estimating spot volatility in the presence of infinite variation jumps," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 1958-1987.
  81. Jim Griffin & Jia Liu & John M. Maheu, 2021. "Bayesian Nonparametric Estimation of Ex Post Variance [Out of Sample Forecasts of Quadratic Variation]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 823-859.
  82. Pelger, Markus, 2019. "Large-dimensional factor modeling based on high-frequency observations," Journal of Econometrics, Elsevier, vol. 208(1), pages 23-42.
  83. René Carmona, 2022. "The influence of economic research on financial mathematics: Evidence from the last 25 years," Finance and Stochastics, Springer, vol. 26(1), pages 85-101, January.
  84. Filip Zikes, 2017. "Measuring Transaction Costs in the Absence of Timestamps," Finance and Economics Discussion Series 2017-045, Board of Governors of the Federal Reserve System (U.S.).
  85. Yuping Song & Weijie Hou & Guang Yang, 2020. "Asymptotic Normality of Convoluted Smoothed Kernel Estimation for Scalar Diffusion Model," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 191-221, March.
  86. Benth, Fred Espen & Schroers, Dennis & Veraart, Almut E.D., 2022. "A weak law of large numbers for realised covariation in a Hilbert space setting," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 241-268.
  87. Alessandro Casini & Pierre Perron, 2017. "Continuous Record Laplace-based Inference about the Break Date in Structural Change Models," Boston University - Department of Economics - Working Papers Series WP2018-011, Boston University - Department of Economics.
  88. Ilze Kalnina & Kokouvi Tewou, 2024. "Cross-sectional Dependence in Idiosyncratic Volatility," Papers 2408.13437, arXiv.org.
  89. Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2018. "News and expected returns in East Asian equity markets: The RV-GARCHM model," Journal of Asian Economics, Elsevier, vol. 57(C), pages 36-52.
  90. Naoto Kunitomo & Daisuke Kurisu, 2015. "On Effects of Jump and Noise in High-Frequency Financial Econometrics," CIRJE F-Series CIRJE-F-996, CIRJE, Faculty of Economics, University of Tokyo.
  91. 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.
  92. YAMAMOTO, Yohei & 山本, 庸平, 2015. "Asymptotic Inference for Common Factor Models in the Presence of Jumps," Discussion Papers 2015-05, Graduate School of Economics, Hitotsubashi University.
  93. Hiroyuki Kawakatsu, 2022. "Local projection variance impulse response," Empirical Economics, Springer, vol. 62(3), pages 1219-1244, March.
  94. Tim Bollerslev & Jia Li & Leonardo Salim Saker Chaves, 2021. "Generalized Jump Regressions for Local Moments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1015-1025, October.
  95. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
  96. Arnaud Dufays & Jeroen V. K. Rombouts, 2019. "Sparse Change-point HAR Models for Realized Variance," Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 857-880, September.
  97. Rene Carmona & Kevin Webster, 2017. "The microstructure of high frequency markets," Papers 1709.02015, arXiv.org.
  98. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
  99. Chen, Dachuan, 2024. "High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times," Journal of Econometrics, Elsevier, vol. 240(1).
  100. Elisa Alòs & Masaaki Fukasawa, 2021. "The asymptotic expansion of the regular discretization error of Itô integrals," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 323-365, January.
  101. Ronald Gallant, A. & Tauchen, George, 2018. "Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale," Journal of Econometrics, Elsevier, vol. 205(1), pages 140-155.
  102. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev & Yuan Hu, 2023. "Unifying Market Microstructure and Dynamic Asset Pricing," Papers 2304.02356, arXiv.org, revised Feb 2024.
  103. Holger Dette & Vasyl Golosnoy & Janosch Kellermann, 2023. "The effect of intraday periodicity on realized volatility measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(3), pages 315-342, April.
  104. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jun 2024.
  105. Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
  106. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  107. 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.
  108. Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev, 2022. "ESG-valued discrete option pricing in complete markets," Papers 2209.06276, arXiv.org.
  109. Qiang Liu & Zhi Liu, 2022. "Estimating spot volatility under infinite variation jumps with dependent market microstructure noise," Papers 2205.15738, arXiv.org, revised Feb 2023.
  110. Yuta Koike & Zhi Liu, 2019. "Asymptotic properties of the realized skewness and related statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(4), pages 703-741, August.
  111. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2020. "Economic indicators and stock market volatility in an emerging economy," Economic Systems, Elsevier, vol. 44(2).
  112. Yacine Aït-Sahalia & Dacheng Xiu, 2019. "Principal Component Analysis of High-Frequency Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(525), pages 287-303, January.
  113. Endres, Sylvia & Stübinger, Johannes, 2018. "A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns," FAU Discussion Papers in Economics 07/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  114. Simona Sanfelici & Giacomo Toscano, 2024. "The Fourier-Malliavin Volatility (FMVol) MATLAB library," Papers 2402.00172, arXiv.org.
  115. Qi Wang & Zerong Wang, 2021. "VIX futures and its closed‐form pricing through an affine GARCH model with realized variance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 135-156, January.
  116. Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.
  117. Andrea Bucci & Giulio Palomba & Eduardo Rossi, 2019. "Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach," Working Papers 440, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  118. repec:hit:hiasdp:2015-04 is not listed on IDEAS
  119. Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2018. "Statistical inferences for price staleness," SAFE Working Paper Series 236, Leibniz Institute for Financial Research SAFE.
  120. Giacomo Toscano & Maria Cristina Recchioni, 2020. "Bias optimal vol-of-vol estimation: the role of window overlapping," Papers 2004.04013, arXiv.org, revised Jul 2021.
  121. Sun, Yucheng & Xu, Wen & Zhang, Chuanhai, 2023. "Identifying latent factors based on high-frequency data," Journal of Econometrics, Elsevier, vol. 233(1), pages 251-270.
  122. Seisho Sato & Naoto Kunitomo, 2015. "A Robust Estimation of Integrated Volatility under Round-off Errors, Micro-market Price Adjustments and Noises," CIRJE F-Series CIRJE-F-964, CIRJE, Faculty of Economics, University of Tokyo.
  123. Curato, Imma Valentina, 2019. "Estimation of the stochastic leverage effect using the Fourier transform method," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3207-3238.
  124. Richard Y. Chen, 2019. "The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations," Papers 1911.02205, arXiv.org.
  125. 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.
  126. Cui, Wenhao & Hu, Jie & Wang, Jiandong, 2024. "Nonparametric estimation for high-frequency data incorporating trading information," Journal of Econometrics, Elsevier, vol. 240(1).
  127. Dai, Chaoxing & Lu, Kun & Xiu, Dacheng, 2019. "Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data," Journal of Econometrics, Elsevier, vol. 208(1), pages 43-79.
  128. Masaaki Fukasawa & Tetsuya Takabatake & Rebecca Westphal, 2019. "Is Volatility Rough ?," Papers 1905.04852, arXiv.org, revised May 2019.
  129. Aït-Sahalia, Yacine & Jacod, Jean, 2018. "Semimartingale: Itô or not ?," Stochastic Processes and their Applications, Elsevier, vol. 128(1), pages 233-254.
  130. Alessio Brini & Jimmie Lenz, 2024. "A comparison of cryptocurrency volatility-benchmarking new and mature asset classes," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-38, December.
  131. Rene Carmona & Laura Leal, 2021. "Optimal Execution with Quadratic Variation Inventories," Papers 2104.14615, arXiv.org.
  132. Jos'e E. Figueroa-L'opez & Jincheng Pang & Bei Wu, 2024. "Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators," Papers 2407.09759, arXiv.org.
  133. Christensen, Kim & Thyrsgaard, Martin & Veliyev, Bezirgen, 2019. "The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing," Journal of Econometrics, Elsevier, vol. 212(2), pages 556-583.
  134. Carsten H. Chong & Viktor Todorov, 2024. "A nonparametric test for rough volatility," Papers 2407.10659, arXiv.org.
  135. Ilze KALNINA & Kokouvi TEWOU, 2015. "Cross-sectional Dependence in Idiosyncratic Volatility," Cahiers de recherche 08-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  136. Takaki Hayashi & Yuta Koike, 2016. "Wavelet-based methods for high-frequency lead-lag analysis," Papers 1612.01232, arXiv.org, revised Nov 2018.
  137. Naoto Kunitomo & Hiroumi Misaki & Seisho Sato, 2015. "The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling," CIRJE F-Series CIRJE-F-965, CIRJE, Faculty of Economics, University of Tokyo.
  138. Masayuki Ando & Masaaki Fukasawa, 2023. "When to efficiently rebalance a portfolio," Papers 2308.08745, arXiv.org.
  139. Sanfelici, Simona & Toscano, Giacomo, 2024. "The Fourier–Malliavin Volatility (FMVol) MATLAB® library," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 226(C), pages 338-353.
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