VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
By Christian-Yann Robert, Mathieu Rosenbaum. 2012
61 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/192c2c8121ebed384557cbdd7e7e02ae5d85d515
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Marc Hoffmann
- Nakahiro Yoshida
- Mathieu Rosenbaum
- Omar El Euch
- Eduardo Abi Jaber
- Jim Gatheral
- Paul Jusselin
- Christian-Yann Robert
In Finance
- Mathieu Rosenbaum
- Marc Hoffmann
- Nakahiro Yoshida
- Hiroki Masuda
- Omar El Euch
- Markus Bibinger
- Eduardo Abi Jaber
- Paul Jusselin
Citations in the corpus
- Volatility is rough (2014, unknown): “we use the estimator of the integrated variance from 10 am to 11 am London time obtained from the model with uncertainty zones, see [42, 43].”
- Estimation of the lead-lag parameter from non-synchronous data (2013, background): “In [21] and [22], Robert and Rosenbaum introduce a model (model with uncertainty zones) where the efficient semi-martingale prices of the assets can be estimated at some random times from the observed prices.”