Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

By Ilze Kalniņa, Oliver B. Linton. 2008

117 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/035d9a62df0d71e04a107f8bcf3cd61ac3e1ff6e

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Citations in the corpus

Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice (2016, background): “504 features of financial data—most importantly for the effect of univariate market microstructure noise (e.g., Zhang, Mykland, and Aı̈t-Sahalia 2005; Zhang 2006; Barndorff-Nielsen et al. 2008; Kalnina and Linton 2008; Jacod et al. 2009; and Xiu 2010).”
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2017, unknown): “As consistent with, e.g, Bandi and Russell (2006); Kalnina and Linton (2008), the second moment of the noise is allowed to be heteroskedastic and exhibit diurnal variation.”
Quasi-maximum likelihood estimation of volatility with high frequency data (2010, background): “Kalnina and Linton (2008) have proposed a modification of the TSRV with endogenous noise and heteroskedastic measurement error.”
Estimating spot volatility with high-frequency financial data (2014, methodology): “This assumption was used in Kristensen (2010). It is very general and accommodates diffusion process, long memory stochastic differential equations (as in Comte and Renault (1998)), deterministic patterns as well as nonstationarity in the spot variance process.”
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency (2011, background): “Related work include Bandi and Russell (2006), Delattre and Jacod (1997), Fan andWang (2007), Gatheral and Oomen (2010), Hansen and Lunde (2006), Kalnina and Linton (2008), Li and Mykland (2007), Aı̈t-Sahalia et al. (2011) and Li et al. (2010).”
Realized kernels in practice: trades and quotes (2009, background): “Leading references include Zhou (1996), Andersen et al. (2000), Bandi and Russell (2008), Hansen and Lunde (2006), Zhang et al. (2005), Zhang (2006), Kalnina and Linton (2008), Jacod et al. (2007), Fan and Wang (2007), and Barndorff-Nielsen et al. (2008a).”
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011, background): “Aψ0(t) type term appears in Hansen & Lunde (2006, example 1) and Kalnina & Linton (2008) in their analysis of endogeneity anda two scale estimator.”
VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (2012, methodology): “An additive endogenous component is also considered in Barndorff-Nielsen et al. (2009a) through a linear combination of past returns and in Kalnina and Linton (2008) through the Brownian motion driving the price.”
The drift burst hypothesis (2016, unknown): “We set ωi/n = γ σi/n p n , so the noise is both conditionally heteroscedastic, serially dependent (via σ), and positively related to the riskiness of the efficient log-price (e.g., Bandi and Russell, 2006; Oomen, 2006; Kalnina and Linton, 2008).”
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory (2011, background): “Empirical studies of (ultra) high-frequency financial data suggest to rather model the observed log-prices as sum of a latent semimartingale and noise for that the variance decreases in N as reported in [20] and [3], among others.”