Quasi-maximum likelihood estimation of volatility with high frequency data

By D. Xiu. 2010

246 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4bd7e975352413837c6f260819e3a650f1dfdde2

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Citations in the corpus

High-dimensional minimum variance portfolio estimation based on high-frequency data (2020, unknown): “…volatility (TSRV, Zhang et al. (2005)), multi-scale realized volatility (MSRV, Zhang (2006)), pre-averaging estimator (PAV, Jacod et al. (2009) and Podolskij and Vetter (2009)), realized kernels (RK, Barndorff-Nielsen et al. (2008)), and quasi-maximum likelihood estimator (QMLE, Xiu (2010)).”
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013, unknown): “Approaches to dealing with microstructure noise through modification of realized volatility include (in the exogenous-time case) ZMA (2005), Zhang (2006), Barndorff-Nielsen Hansen, Lunde, and Shephard (2008), Jacod, Li, Mykland, Podolskij, and Vetter (2009), and Xiu (2010).”
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency (2011, methodology): “…by Barndorff-Nielsen et al. (2008a), the Pre-Averaging volatility estimator (PAV) by Jacod et al. (2009), and the Quasi-Maximum Likelihood Estimator (QMLE) of Xiu (2010) which extends the parametric Maximum-Likelihood Estimator of Aı̈t-Sahalia et al. (2005) to the setting of stochastic volatility.”
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).”
Statistical Properties of Microstructure Noise (2013, unknown): “…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), Aït-Sahalia et al. (2010), among others.”
Estimating spot volatility with high-frequency financial data (2014, methodology): “These are the subsampling-based Two Scale Realized Variance (TSRV) estimator by Zhang et al. (2005) and the Multiscale Realized Variance (MSRV) estimator by Zhang (2006); the Realized Kernel (RK) estimator by Barndorff-Nielsen et al. (2008), which is based on Zhou (1996)’s first order moving average”
Testing for jumps in noisy high frequency data (2012, methodology): “Considering only methods that are robust to the simplest forms of market microstructure noise, there are currently four main approaches to quadratic variation estimation: maximum likelihood estimation (Aït-Sahalia et al., 2005; Xiu, 2010), linear combination of realized volatilities obtained by subs”
Econometrics of co-jumps in high-frequency data with noise (2015, background): “Several approaches have been invented, prominent ones by Zhang (2006), Barndorff-Nielsen et al. (2008), Jacod et al. (2009) and Xiu (2010) in the one-dimensional setting and generalizations for a noisy non-synchronous multi-dimensional setting by Aı̈t-Sahalia et al. (2010), Barndorff-Nielsen et al.…”
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory (2011, methodology): “A refinement of the subsample approach using multiple scales in [30] and related alternative techniques in [4], [23] and [29] have led to rate-optimal estimators and feasible stable central limit theorems.”
Infectious Diseases, Market Uncertainty and Oil Market Volatility (2020, methodology): “The estimation procedure for realized volatility follows [15], and is based on the quasi-maximum likelihood estimates (QMLE) of volatility built on moving-average models (MA(q)), using non-zero returns of transaction prices sampled up to their highest frequency available, for days with at least 12 o”
A ReMeDI for Microstructure Noise (2019, unknown): “…et al. (2011); the optimal-sampling realized variance by Bandi and Russell (2008); the maximum likelihood estimators by Aït-Sahalia et al. (2005), Xiu (2010); the pre-averaging method developed in Jacod et al. (2009), see also Li (2013); and the realized kernel by Barndorff-Nielsen et al. (2008).”