The DOI matches its Crossref record; 15 of the 15 references it cites were found in a registry or an index.
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
Open accessAbstract
It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns.However market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance.This work attempts to lay out theoretical grounds that reconcile continuous-time modeling and discrete-time samples.We propose an estimation approach that takes advantage of the rich sources in tick-by-tick data while preserving the continuous-time assumption on the underlying returns.Under our framework, it becomes clear why and where the "usual" volatility estimator fails when the returns are sampled at the highest frequency.
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Cited by
Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007) · Review of Economics and Statistics · doi:10.1162/rest.89.4.701 · Cited by 1,445
Realized Variance and Market Microstructure Noise
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BOLLERSLEV, T., & TODOROV, V. (2011) · The Journal of Finance · doi:10.1111/j.1540-6261.2011.01695.x · Cited by 804
Realized kernels in practice: trades and quotes
Barndorff‐Nielsen, O. E., Hansen, P. R., Lunde, A., & Shephard, N. (2009) · The Econometrics Journal · doi:10.1111/j.1368-423x.2008.00275.x · Cited by 640
Exploiting the errors: A simple approach for improved volatility forecasting
Bollerslev, T., Patton, A. J., & Quaedvlieg, R. (2016) · Journal of Econometrics · doi:10.1016/j.jeconom.2015.10.007 · Cited by 444
Metadata
- Authors
- Zhang, L., Mykland, P., & Ait-Sahalia, Y.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 2003-11
- OpenAlex
- W2157296221
- Cited by
- 1,373
- References
- 15
- Type
- report
- Language
- en
- Open access
- green
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