Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps

Prediction-based estimation for diffusion models with high-frequency data

Japanese Journal of Statistics and Data Science ◽

10.1007/s42081-020-00103-x ◽

2021 ◽

Author(s):

Emil S. Jørgensen ◽

Michael Sørensen

Keyword(s):

High Frequency ◽

Diffusion Models ◽

High Frequency Data ◽

Supplementary Material of 'On the Estimation of Jump-Diffusion Models Using High-Frequency Data: A Filtering-Based Approach'

10.2139/ssrn.3737708 ◽

2020 ◽

Author(s):

Jean-François Bégin ◽

Diego Amaya ◽

Genevieve Gauthier ◽

Marie-Eve Malette

Keyword(s):

High Frequency ◽

Jump Diffusion ◽

Diffusion Models ◽

High Frequency Data ◽

Frequency Data ◽

Supplementary Material

Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data

PLoS ONE ◽

10.1371/journal.pone.0139041 ◽

2015 ◽

Vol 10 (9) ◽

pp. e0139041 ◽

Cited By ~ 12

Author(s):

Maria Elvira Mancino ◽

Maria Cristina Recchioni

Keyword(s):

Asymptotic Normality ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

10.2139/ssrn.925183 ◽

2006 ◽

Author(s):

George J. Jiang ◽

Roel C. A. Oomen

Keyword(s):

High Frequency ◽

Latent Variables ◽

Jump Diffusion ◽

Diffusion Models ◽

High Frequency Data ◽

Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbl007 ◽

2006 ◽

Vol 5 (1) ◽

pp. 1-30 ◽

Cited By ~ 15

Author(s):

G. J. Jiang ◽

R. C. A. Oomen

Keyword(s):

High Frequency ◽

Latent Variables ◽

Jump Diffusion ◽

Diffusion Models ◽

High Frequency Data ◽

Modeling and Stochastic Learning for Forecasting in High Dimensions - Lecture Notes in Statistics ◽

Spot Volatility Estimation for High-Frequency Data: Adaptive Estimation in Practice

10.1007/978-3-319-18732-7_12 ◽

2015 ◽

pp. 213-241 ◽

Cited By ~ 4

Author(s):

Till Sabel ◽

Johannes Schmidt-Hieber ◽

Axel Munk

Keyword(s):

High Frequency ◽

Adaptive Estimation ◽

High Frequency Data ◽

Frequency Data ◽

Volatility Estimation ◽

Data Adaptive ◽

Spot volatility estimation for high-frequency data

Statistics and Its Interface ◽

10.4310/sii.2008.v1.n2.a5 ◽

2008 ◽

Vol 1 (2) ◽

pp. 279-288 ◽

Cited By ~ 36

Author(s):

Jianqing Fan ◽

Yazhen Wang

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Volatility Estimation ◽

Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data

10.2139/ssrn.2188542 ◽

2012 ◽

Author(s):

Sobhesh Kumar Agarwalla ◽

Joshy Jacob ◽

Ajay Pandey

Keyword(s):

Stock Market ◽

High Frequency ◽

Price Discovery ◽

High Frequency Data ◽

Frequency Data ◽

Call Auction ◽

Indian Stock Market

High Frequency Data in Finance: A Study of the Indian Equity Markets

10.2139/ssrn.300343 ◽

2003 ◽

Author(s):

Susan Thomas

Keyword(s):

High Frequency ◽

Equity Markets ◽

High Frequency Data ◽

Efficient Estimation of Volatility using High Frequency Data

10.2139/ssrn.306002 ◽

2002 ◽

Cited By ~ 12

Author(s):

Gilles O. Zumbach ◽

Fulvio Corsi ◽

Adrian Trapletti

Keyword(s):

High Frequency ◽

Efficient Estimation ◽

High Frequency Data ◽