Related papers: Realised quantile-based estimation of the integrat…
We consider statistical inference for a class of continuous semimartingale regression models based on high-frequency observations subject to contamination by finite-activity jumps and spike noise. By employing density-power weighting and…
The problem of integrated volatility estimation for the solution X of a stochastic differential equation with L{\'e}vy-type jumps is considered under discrete high-frequency observations in both short and long time horizon. We provide an…
This paper presents a central limit theorem for a pre-averaged version of the realized covariance estimator for the quadratic covariation of a discretely observed semimartingale with noise. The semimartingale possibly has jumps, while the…
We develop a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The microstructure noise is a parametric function of the limit order book. The noise-robust estimators…
The estimation of the volatility with high-frequency data is plagued by the presence of microstructure noise, which leads to biased measures. Alternative estimators have been developed and tested either on specific structures of the noise…
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is based on local volatility estimates constructed from…
This paper considers the problem of estimating the cumulative distribution function and probability density function of a random variable using data quantized by uniform and non-uniform quantizers. A simple estimator is proposed based on…
This paper considers estimation of a quantized constant in noise when using uniform and nonuniform quantizers. Estimators based on simple arithmetic averages, on sample statistical moments and on the maximum-likelihood procedure are…
Recently a considerable interest has been paid on the estimation problem of the realized volatility and covolatility by using high-frequency data of financial price processes in financial econometrics. Threshold estimation is one of the…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
We focus on estimating the integrated covariance of log-price processes in the presence of market microstructure noise. We construct an efficient unbiased estimator for the quadratic covariation of two It\^{o} processes in the case where…
For a semimartingale with jumps, we propose a new estimation method for integrated volatility, i.e., the quadratic variation of the continuous martingale part, based on the global jump filter proposed by Inatsugu and Yoshida [8]. To decide…
Correlation between microstructure noise and latent financial logarithmic returns is an empirically relevant phenomenon with sound theoretical justification. With few notable exceptions, all integrated variance estimators proposed in the…
Volatility estimation based on high-frequency data is key to accurately measure and control the risk of financial assets. A L\'{e}vy process with infinite jump activity and microstructure noise is considered one of the simplest, yet…
In this paper, adaptive estimation based on noisy quantized observations is studied. A low complexity adaptive algorithm using a quantizer with adjustable input gain and offset is presented. Three possible scalar models for the parameter to…
This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. We establish through synthetic and real data experiments that the proposed…
Let $X$ be a random variable with unknown mean and finite variance. We present a new estimator of the mean of $X$ that is robust with respect to the possible presence of outliers in the sample, provides tight sub-Gaussian deviation…
High-frequency data observed on the prices of financial assets are commonly modeled by diffusion processes with micro-structure noise, and realized volatility-based methods are often used to estimate integrated volatility. For problems…
Many methods for estimating integrated volatility and related functionals of semimartingales in the presence of jumps require specification of tuning parameters for their use in practice. In much of the available theory, tuning parameters…
This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the realized kernels (RK) from [Barndorff-Nielsen et al., 2008] and…