REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
By Yingying Li, Per Aslak Mykland, É. Renault, Lan Zhang, Xinghua Zheng. Econometric Theory, 2013
74 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/4f3c73f61e011c7f01ac1e2aecc9f615dd602508
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
- Kevin Sheppard
- Andrew J. Patton
- Markus Bibinger
- Nikolaus Hautsch
- Peter Malec
- Markus Reiß
- Tim Bollerslev
- S. J. Koopman
In Finance
- Kevin Sheppard
- Andrew J. Patton
- Markus Bibinger
- Nikolaus Hautsch
- Markus Reiß
- Peter Malec
- S. J. Koopman
- Tim Bollerslev
Citations in the corpus
- Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency (2013, background): “articular, a stable central limit theorem is established. A similar extension to random and endogenous observations times (t(l) i ) would be of high interest, but does not seem obvious; see Li et al. [20] for recent work on the case without noise and some empirical evidence for endogenous times. Est”
- Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015, background): “8 Recent work by Li et al. (2013) considers cases where trade arrivals are strongly related to volatility and shows that bias in realized variance can arise in such cases.”