Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid 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 ◽

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

Advances in Difference Equations ◽

10.1186/s13662-020-02832-5 ◽

2020 ◽

Vol 2020 (1) ◽

Author(s):

Jingwei Cai ◽

Quanxin Zhu ◽

Ping Chen

Keyword(s):

High Frequency ◽

Diffusion Models ◽

Time Dependent ◽

High Frequency Data ◽

Frequency Data ◽

Threshold 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 ◽

Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data

10.2139/ssrn.3099650 ◽

2017 ◽

Author(s):

Rim mname Lamouchi ◽

Russell mname Davidson ◽

Ibrahim mname Fatnassi ◽

Abderazak Ben mname Maatoug

Keyword(s):

Exchange Rate ◽

High Frequency ◽

Realized Volatility ◽

High Frequency Data ◽

Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''

10.2139/ssrn.3472122 ◽

2019 ◽

Author(s):

Z. Merrick Li ◽

Michel Vellekoop ◽

Roger Jean Auguste Laeven

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Volatility Estimation ◽

Integrated Volatility ◽

Supplementary Material

Stochastic Volatility: A Tale of Co-Jumps, Non-Normality, GMM and High Frequency Data

10.2139/ssrn.3549884 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Stochastic Volatility ◽

High Frequency ◽

High Frequency Data ◽

Profitability of Trading Strategies on High-Frequency Data, with Trading Costs

10.2139/ssrn.568363 ◽

2004 ◽

Cited By ~ 1

Author(s):

Tirthankar C. Patnaik ◽

Susan Thomas

Keyword(s):

High Frequency ◽

Trading Strategies ◽

High Frequency Data ◽

Frequency Data ◽

Trading Costs