Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise

By Ole E. Barndorff-Nielsen, P. R. Hansen, Asger Lunde, N. Shephard. 2004

100 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1f9bd40725c47b6dee18c540ca82a21e02db70db

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Citations in the corpus

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007, unknown): “Concluding Remarks Building on recent theoretical results in Barndorff-Nielsen and Shephard (2004a, 2005) for bi-power variation measures, we provide a simple and easy-to-implement practical framework for measuring “significant” jumps in financial asset prices. Applying the theory to more than a dec”
Moving Average-Based Estimators of Integrated Variance (2008, unknown): “see also Barndorff-Nielsen et al. (2004). By a Taylor expansion we now see that σ̂ 2 ω̂ 2 − σ 2 ω2 ≈ [ 1 ω2 , −σ 2 ω4 ]( σ̂ 2 − σ 2 ω̂ 2 − ω2 ) ,”
Limit theorems for multipower variation in the presence of jumps (2006, background): “Barndor-Nielsen, Hansen, Lunde, and Shephard (2004) and Zhang (2004).”
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (2011, methodology): “As in Bandi and Russell (2006a), Barndor¤-Nielsen et al. (2005) (2008), Zhang et al. (2005), and Zhang (2006), among others, we make the following assumptions: Assumption 1 .”
Realized Variance and Market Microstructure Noise (2006, methodology): “These four empirical “facts” are related to one another and h ave important implications for volatility estimation. The time-dependence in the noise and the correlation between no ise and efficient price arise naturally in some models on market microstructure effects, including (a generalized v rsio”
Measuring volatility with the realized range (2006, background): “…acknowledge continuing work on specific corrections for market microstructure effects, for example Zhang et al. (2005), Hansen and Lunde (2006) and Barndorff-Nielsen et al. (2005) for bid-ask bounce effects on realized variance, and Rogers and Satchell (1991) and Christensen and Podolskij (2005)…”
Measuring the impact of jumps in multivariate price processes using bipower covariation (2004, unknown): “This was noted in Barndorff-Nielsen and Shephard (2003) who show that there is statistically significant evidence that there is a jump in the price process.”
Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach (2004, unknown): “For the estimating functions-based approach, there is a nice review by Bibby et al. (2002).”
Out of sample forecasts of quadratic variation (2008, unknown): “An alternative derivation of TSRV and MSRV, based on kernels, has subsequently been proposed by Barndorff-Nielsen et al. (2006) .”
Properties of Realized Variance Under Alternative Sampling Schemes (2006, background): “In addition, the work by Oomen (2005) on the first-order bias-corrected realized variance measure of Zhou (1996) can be extended to the more general kernel-based realized variation estimators of Barndorff-Nielsen et al. (2004) or the subsampling estimator of Zhang et al. (2005).”
Edgeworth Expansions for Realized Volatility and Related Estimators (2011, background): “, Dacorogna, Gençay, Müller, Olsen, and Pictet (2001), Andersen, Bollerslev, Diebold, and Labys (2001), Zhang (2001), Barndorff-Nielsen and Shephard (2002), Meddahi (2002), and Oomen (2002).”
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models (2010, unknown): “…announcement times (1:30-2PM) 17 sampling frequency for computing the quadratic variance process in the presence of market microstructure noise, e.g., Aı̈t-Sahalia et al. (2005a,b), Barndorff-Nielsen et al. (2004), Hansen and Lunde (2005), and Bandi and Russell (2005a,b) is not directly applicable.”