Consistent High-precision Volatility from High-frequency Data

By Fulvio Corsi, Gilles O. Zumbach, Ulrich A. Müller, Michel M. Dacorogna. 2001

154 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7e1ea5000357edf82abfd482326e923769ddacb8

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Citations in the corpus

Realized Volatility: A Review (2008, methodology): “Recently, Andersen et al. (2004, 2005) have developed a general model-free adjustment procedure for the calculation of unbiased volatility loss functions based on realized volatility benchmarks.”
Measuring and modeling systematic risk in factor pricing models using high-frequency data (2003, background): “…these studies include Andersen et al. (2001a, 2003b), Andreou and Ghysels (2002), Bai et al. (2000), Barndorff-Nielson and Shephard (2001, 2002a,b), Dacorogna et al. (2001), Meddahi (2002), and Taylor and Xu (1997); see also Andersen et al. (2003a) for a recent survey of the literature. the…”
Multi-scaling in finance (2007, background): “Until now, most work has concentrated on studies of particular markets: Foreign Exchange (Müller et al. 1990, Corsi et al. 2001, Dacorogna et al. 2001a), the US Stock Market (Dow Jones) (Mantegna and Stanley 1995) or Fixed Income (Ballocchi et al. 1999).”
Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach (2004, unknown): “However, it has been reported that realized volatility using high-frequency data is not desirable (see, for example, Brown 1990; Zhou 1996; Corsi et al. 2001).”
The Volatility of Realized Volatility (2005, methodology): “…procedures, allowing the full use of the tick-by-tick data, is discussed in Aït-Sahalia et al. (2005), Areal and Taylor (2002), Bandi and Russell (2005), BarndorffNielsen et al. (2006), Corsi et al. (2001), Curci and Corsi (2003), Hansen and Lunde (2006b), and Zhang et al. (2005) among others.”
A Discrete-Time Model for Daily S & P500 Returns and Realized Variations: Jumps and Leverage Effects (2009, unknown): “…account for the serial correlation induced by the market microstructure noise as in, e.g., Andersen et al. (2001a), Bollen and Inder (2002), Corsi et al. (2001), Hansen and Lunde (2006), and Zhou (1996), along with sub-sampling schemes designed to adjust for the bias and inconsistency in…”
Volatility processes and volatility forecast with long memory (2004, background): “A very short EMA is taken before sampling in order to attenuate the tick-bytick incoherent price formation noise (Corsi et al 2001).”
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications (2007, unknown): “…issues are the subject of intense scrutiny within a rapidly expanding literature, see e.g., Aı̈t-Sahalia et al. (2005), ABDL (2000a,b, 2003a,b), Bandi and Russell (2004a,b), Bollen and Inder (2002), Corsi et al. (2001), Hansen and Lunde (2006), Oomen (2005), Zhang et al. (2005), and Zhou (1996).”
Realised quantile-based estimation of the integrated variance (2010, methodology): “…are 1 Other methods include sparse sampling (e.g. Andersen et al., 2000; Bandi and Russell, 2008), pre-filtering (Andersen et al., 2001; Bollen and Inder, 2002; Hansen et al., 2008), model-based corrections (e.g. Corsi et al., 2001), and wavelet-based methods of Fan and Wang (2007).”
A Fourier transform method for nonparametric estimation of multivariate volatility (2009, background): “en asset pricing theory based on semi-martingales and the data at very ﬁne intervals. The impact of market microstructure noise on the realized volatility estimator has been studied, among others, in [3, 15, 41, 44], and modiﬁcations of realized variance estimator have been proposed to correct the b”