Financial econometric analysis at ultra-high frequency: Data handling concerns

By Christian T. Brownlees, Giampiero M. Gallo. Computational Statistics & Data Analysis, 2006

311 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/89d580c15ab8620ef9be5cb9b072accf85bd60a0

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Citations in the corpus

Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2017, unknown): “They were cleaned with the algorithm developed by Christensen, Oomen, and Podolskij (2014), who build on earlier work of Brownless and Gallo (2006) and Barndorff-Nielsen, Hansen, Lunde, and Shephard (2009). It is a standard way of preparing data for analysis in the high-frequency volatility literatu”
New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017, methodology): “We first clean the high-frequency data following the guidelines of Brownlees and Gallo (2006) and Barndorff-Nielsen et al. (2009).”
A Practical Guide to Volatility Forecasting through Calm and Storm (2011, unknown): “We construct this series from NYSE-TAQ intradaily mid-quotes (filtered with procedures described in Brownlees and Gallo (2006) and Barndorff-Nielsen et al (2009)).”
Robust estimation of intraweek periodicity in volatility and jump detection (2011, background): “Lee and Mykland A similar idea is pursued by Brownlees and Gallo (2006) for outlier detection in high-frequency return series, but they use the standard deviation as an estimator of local scale.”
Realized kernels in practice: trades and quotes (2009, methodology): “(2001, chapter 4), Falkenberry (2001), Hansen and Lunde (2006), and Brownless and Gallo (2006). Specifically, Hansen and Lunde (2006) show that tossing out a large number of observations can in fact improve volatility estimators.”
Forecasting Volatility Using High-Frequency Data (2011, methodology): “(Dacorogna, Gencay, Müller, Olsen and Pictet, 2001, chapter 4), Falkenberry (2001), Hansen and Lunde (2006), Brownless and Gallo (2006) and BarndorffNielsen, Hansen, Lunde and Shephard (2009). Interestingly, Hansen and Lunde (2006) show that tossing out a large number of observations can improve the”
Understanding FX Liquidity (2015, methodology): “6We run the algorithm proposed by Brownlees and Gallo (2006) to clean the EBS data.”
Comparison of Volatility Measures: A Risk Management Perspective (2010, unknown): “More detailed discussion on the features of the UHFD series can be found in Brownlees & Gallo (2006).”