Microstructure Noise in the Continuous Case: The Pre-Averaging Approach ∗

By Jean Jacod, Yingying Li, Per Aslak Mykland, Mark Podolskij, Mathias Vetter. 2008

685 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/230f6fdfcca5fe5f6e3fe9a6e42206abd93eda02

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Citations in the corpus

Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2017, positive): “To strike a balance and get an efficient n − 1 / 4 rate of convergence, Jacod, Li, Mykland, Podolskij, and Vetter (2009) propose to set: for some θ ∈ (0 , ∞ ).”
VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (2012, background): “In particular, σ u is not necessarily an Ito semi-martingale as in Barndorff-Nielsen et al. (2009a) or Jacod et al. (2009).”
Realising the future: forecasting with high frequency based volatility (HEAVY) models (2010, methodology): “Alternatives to the realised kernel include the multiscale estimators of Zhang et al. (2005) and Zhang (2006) and the pre-averaging estimator of Jacod et al. (2009).1 Ł Correspondence to: Professor Neil Shephard, Oxford-Man Institute, Eagle House, Walton Well Road, Oxford OX2 6ED, UK.”
Bipower-type estimation in a noisy diffusion setting (2008, background): “[14], where Ĉ = 1 θψ2 BT (2, 0)n − ψ1 θ(2)ψ2 ω̂(2) P −→ ∫ 1”
Inference for volatility-type objects and implications for hedging (2008, positive): “Newer developments include the question of estimation under microstructure, see, for example, Zhang et al. (2005), Zhang (2006), Fan and Wang (2007), Barndorff-Nielsen et al. (2008), Jacod et al. (2008), and the papers cited therein.”
Realized kernels in practice: trades and quotes (2009, methodology): “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).”
Time-Varying Periodicity in Intraday Volatility (2019, neutral): “A common approach to dealing with noise is to do local averaging of the prices, and use the preaveraged prices in the construction of the statistics, see for example, Jacod et al. (2009).”
Statistical Properties of Microstructure Noise (2013, neutral): “…Aït-Sahalia et al. (2005); the kernel method as in Barndorff-Nielsen et al. (2008), Barndorff-Nielsen et al. (2011); the pre-averaging method as in Jacod et al. (2009), Kinnebrock et al. (2010); the multi-scale method as in Zhang (2006); the quasi-maximum likelihood method as in Xiu (2010),…”
Modelling microstructure noise with mutually exciting point processes (2011, background): “…by econometricians and statisticians (see Seo (2005), Bandi and Russell (2006, 2011), Barndorff-Nielsen et al. (2008), Diebold and Strasser (2008), Jacod et al. (2009), Podolskij and Vetter (2009), Robert and Rosenbaum (2009), Hoffmann et al. (2010), Munk and Schmidt-Hieber (2010a, b),…”
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2009, methodology): “Also, some of the results in this section can be further generalized to non-i.i.d. noise specifications, see Jacod et al. (2007). of QV robust to noise have been derived already, see Barndorff-Nielsen et al. (2006), Zhang et al. (2005) and Zhang (2006).”
On the number of common factors with high‐frequency data (2017, methodology): “Zhang et al. (2005) and Jacod et al. (2009) developed two-time-scale and pre-averaging techniques to estimate the integrated volatility of a univariate Itô process using noisy data.”
Fact or friction: jumps at ultra high frequency (2014, neutral): “The i.i.d. assumption, however, is not binding [Jacod, Li, Mykland, Podolskij, and Vetter (2009) provide a more general treatment of the noise.”
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps (2007, neutral): “in a recent paper by Jacod, Li, Mykland, Podolskij and Vetter [18] who proposed a subsam pled version of MBV(Y, 2,0)n to estimate IV in the presence of a more general noise process.”
Integrated volatility and round-off error (2009, background): “[15]; Zhang [30]; Zhang, Mykland and Aı̈t-Sahalia [31]; Hansen and Lunde [13]; Aı̈t-Sahalia, Mykland and Zhang [1]; and Gloter and Jacod [11].”
Risk Everywhere: Modeling and Managing Volatility (2018, neutral): “7 These include the two-scale RV of Zhang, Mykland, and Aït-Sahalia (2005), the kernel-based RV of BarndorffNielsen et al. (2008), and the pre-averaged RV of Jacod et al. (2009).”