Testing the maximal rank of the volatility process for continuous diffusions observed with noise

Autor: Mark Podolskij, Tobias Fissler

Publikováno v: Bernoulli 23, no. 4B (2017), 3021-3066
Fissler, T & Podolskij, M 2014 ' Testing the maximal rank of the volatility process for continuous diffusions observed with noise ' Institut for Økonomi, Aarhus Universitet, Aarhus .
Fissler, T & Podolskij, M 2017, ' Testing the maximal rank of the volatility process for continuous diffusions observed with noise ', Bernoulli, vol. 23, no. 4B, pp. 3021-3066 .

In this paper, we present a test for the maximal rank of the volatility process in continuous diffusion models observed with noise. Such models are typically applied in mathematical finance, where latent price processes are corrupted by microstructur

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d7b22d15d3e011232e2b7cf5a1747a36
http://projecteuclid.org/euclid.bj/1495505084

BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE.

Autor: Hounyo, Ulrich, Gonçalves, Sílvia, Meddahi, Nour

Publikováno v: Econometric Theory; Aug2017, Vol. 33 Issue 4, p791-838, 48p

The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling.

Autor: Kunitomo, Naoto, Misaki, Hiroumi, Sato, Seisho

Publikováno v: Asia-Pacific Financial Markets; Sep2015, Vol. 22 Issue 3, p333-368, 36p

On Covariation Estimation for Multivariate Continuous Itô Semimartingales with Noise in Non-Synchronous Observation Schemes

Autor: Mark Podolskij, Mathias Vetter, Kim Christensen

Publikováno v: Christensen, K, Podolskij, M & Vetter, M 2013, ' On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes ', Journal of Multivariate Analysis, vol. 120, pp. 59-84 . https://doi.org/10.1016/j.jmva.2013.05.002

This paper presents a Hayashi-Yoshida-type estimator for the covariation matrix of continuous Ito semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent non-synchronous points. T

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::da470ea1ec83519746da73a5fe28f6bd
https://doi.org/10.2139/ssrn.2050642

Estimation of Correlation for Continuous Semimartingales

Autor: VETTER, MATHIAS

Publikováno v: Scandinavian Journal of Statistics, 2012 Dec 01. 39(4), 757-771.

Externí odkaz: http://dx.doi.org/10.1111/j.1467-9469.2012.00783.x