This document has not been cited yet.

1. Aït-Sahalia, Y. ; Jacod, J. High-frequency financial econometrics. 2014 Princeton University Press:

2. Andersen, T.G. ; Bollerslev, T. ; Diebold, F.X. ; Labys, P. Modeling and forecasting realized volatility. 2001 Econometrica. 45 137-185

3. Bloomfield, P. Fourier analysis of time series. An introduction.. 2000 Wiley Series in Probability and Statistics:
   Paper not yet in RePEc: Add citation now
   

4. Chang, P. ; Pienaar, E. ; Gebbie, T. Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms. 2020 SIAM J. Sci. Comput.. 42 -

5. Christie, A.A. The stochastic behavior of common stock variances: value, leverage and interest rate effects. 1982 J. Financ. Econ.. 10 407-432

6. Cooley, J.W. ; Tukey, J.W. An algorithm for the machine computation of the complex Fourier series. 1965 Math. Comp.. 19 297-301
   Paper not yet in RePEc: Add citation now
   

7. Curato, I.V. Estimation of the stochastic leverage effect using the Fourier transform method. 2019 Stochastic Process. Appl.. 129 3207-3238

8. Curato, I.V. ; Sanfelici, S. Measuring the leverage effect in a high-frequency framework. 2015 En : Gregoriou, G. The handbook of high-frequency trading. Elsevier:
   Paper not yet in RePEc: Add citation now
   

9. Curato, I.V. ; Sanfelici, S. Stochastic leverage effect in high-frequency data: a Fourier based analysis. 2022 Econometr. Stat.. 23 53-82

10. Grogan, E.L. ; Morris, J.A. ; Norris, P.R. ; France, D.J. ; Ozdas, A. ; Stiles, R. ; Harris, P. ; Dawant, B. ; Speroff, T. Reduced heart rate volatility: an early predictor of death in trauma patients. 2004 Ann. Surg.. 240 547-556
    Paper not yet in RePEc: Add citation now
    
11. Hannan, E.J. Multiple time series. 1970 John Wiley and Sons:
    Paper not yet in RePEc: Add citation now
    

12. Heston, S. A closed-form solution for options with stochastic volatility with applications to bond and currency options. 1993 Rev. Financ. Stud.. 6 327-343

13. J. Akahori, N.L. Liu, Mancino, T. M. E, Mariotti, Y. Yasuda, The Fourier estimation method with positive semi-definite estimators, Working Paper, 2023.
    Paper not yet in RePEc: Add citation now
    

14. Livieri, G. ; Mancino, M.E. ; Marmi, S. Asymptotic results for the Fourier estimator of the integrated quarticity. 2019 Decis. Econ. Finance. 42 471-502

15. M.E. Mancino, T. Mariotti, G. Toscano, Asymptotic normality and finite-sample robustness of the Fourier spot volatility estimator in the presence of microstructure noise, Working Paper, 2022.
    Paper not yet in RePEc: Add citation now
    
16. Malliavin, P. Integration and probability. 1995 Springer-Verlag:
    Paper not yet in RePEc: Add citation now
    
17. Malliavin, P. ; Mancino, M.E. A Fourier transform method for nonparametric estimation of multivariate volatility. 2009 Ann. Statist.. 37 1983-2010
    Paper not yet in RePEc: Add citation now
    

18. Malliavin, P. ; Mancino, M.E. Fourier series method for measurement of multivariate volatilities. 2002 Finance Stoch.. 4 49-61

19. Mancino, M.E. ; Recchioni, M.C. Fourier spot volatility estimator: asymptotic normality and efficiency with liquid and illiquid high-frequency data. 2015 PLoS One. 10 -

20. Mancino, M.E. ; Recchioni, M.C. ; Sanfelici, S. Fourier-Malliavin volatility estimation: theory and practice. 2017 Springer International Publishing:
    Paper not yet in RePEc: Add citation now
    

21. Mancino, M.E. ; Sanfelici, S. Covariance estimation and dynamic asset-allocation under microstructure effects via Fourier methodology. 2011 En : Gregoriou, G.N. ; Pascalau, R. Financial econometrics modeling: market microstructure, factor models and financial risk measures. Palgrave Macmillan UK: London

22. Mancino, M.E. ; Sanfelici, S. Estimating covariance via Fourier method in the presence of asynchronous trading and microstructure noise. 2011 J. Financ. Econom.. 9 367-408

23. Mancino, M.E. ; Sanfelici, S. Estimation of quarticity with high frequency data. 2012 Quant. Finance. 12 607-622

24. Mancino, M.E. ; Sanfelici, S. Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise. 2008 Comput. Statist. Data Anal.. 52 2966-2989

25. Mancino, M.E. ; Toscano, G. Rate-efficient asymptotic normality of the Fourier estimator of the leverage process. 2022 Stat. Interface. 15 73-89
    Paper not yet in RePEc: Add citation now
    
26. Mudelsee, M. Climate time series analysis: classical statistical and bootstrap methods. 2014 Springer International Publishing:
    Paper not yet in RePEc: Add citation now
    
27. Mumenthaler, C. ; Renaud, O. ; Gava, R. ; Brosch, T. The impact of local temperature volatility on attention to climate change: evidence from Spanish tweets. 2021 Global Environ. Change. 69 -
    Paper not yet in RePEc: Add citation now
    
28. Papantonopoulos, G. ; Takahashi, K. ; Bountis, T. ; Loos, B.G. Mathematical modeling suggests that periodontitis behaves as a non-linear chaotic dynamical process. 2013 J. Periodontol.. 84 e29-e39
    Paper not yet in RePEc: Add citation now
    
29. Priestley, M.B. Spectral analysis and time series. 1983 Academic Press:
    Paper not yet in RePEc: Add citation now
    

30. Sanfelici, S. ; Curato, I.V. ; Mancino, M.E. High-frequency volatility of volatility estimation free from spot volatility estimates. 2015 Quant. Finance. 15 1331-1345

31. Toscano, G. The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes. 2022 Appl. Stoch. Models Bus. Ind.. 38 497-511
    Paper not yet in RePEc: Add citation now
    

32. Toscano, G. ; Livieri, G. ; Mancino, M.E. ; Marmi, S. Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. 2024 J. Financ. Econom.. 22 252-296

33. Toscano, G. ; Recchioni, M.C. Bias-optimal vol-of-vol estimation: the role of window overlapping. 2021 Decis. Econ. Finance. 45 137-185

34. Yap, J.S. ; Fan, J. ; Wu, R. Nonparametric modeling of longitudinal covariance structure in functional mapping of quantitative trait loci. 2009 Biometrics. 65 1068-1077

1. Continuous Record Asymptotics for Change-Points Models. (2021). Perron, Pierre ; Casini, Alessandro.
   In: Papers.
   RePEc:arx:papers:1803.10881.

   Full description at Econpapers || Download paper

2. Economic indicators and stock market volatility in an emerging economy. (2020). Cho, Hoon ; Ryu, Doojin ; Chun, Dohyun.
   In: Economic Systems.
   RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

   Full description at Econpapers || Download paper

3. Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2020). Perron, Pierre ; Casini, Alessandro.
   In: Papers.
   RePEc:arx:papers:1804.00232.

   Full description at Econpapers || Download paper

4. Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2020). Koike, Yuta ; Hayashi, Takaki.
   In: Papers.
   RePEc:arx:papers:1708.03992.

   Full description at Econpapers || Download paper

5. The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. (2019). Chen, Richard Y.
   In: Papers.
   RePEc:arx:papers:1911.02205.

   Full description at Econpapers || Download paper

6. A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (2018). Endres, Sylvia ; Stubinger, Johannes.
   In: FAU Discussion Papers in Economics.
   RePEc:zbw:iwqwdp:072018.

   Full description at Econpapers || Download paper

7. Estimating spot volatility in the presence of infinite variation jumps. (2018). Liu, Zhi.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:128:y:2018:i:6:p:1958-1987.

   Full description at Econpapers || Download paper

8. Semimartingale: Itô or not ?. (2018). Ait-Sahalia, Yacine ; Jacod, Jean.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:128:y:2018:i:1:p:233-254.

   Full description at Econpapers || Download paper

9. Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework. (2018). Casini, Alessandro.
   In: Papers.
   RePEc:arx:papers:1803.10883.

   Full description at Econpapers || Download paper

10. Wavelet-based methods for high-frequency lead-lag analysis. (2018). Koike, Yuta ; Hayashi, Takaki.
    In: Papers.
    RePEc:arx:papers:1612.01232.

    Full description at Econpapers || Download paper

11. Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Chen, Richard Y ; Mykland, Per A.
    In: Papers.
    RePEc:arx:papers:1512.06159.

    Full description at Econpapers || Download paper

12. The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-19.

    Full description at Econpapers || Download paper

13. Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes. (2017). Endres, Sylvia ; Stubinger, Johannes.
    In: FAU Discussion Papers in Economics.
    RePEc:zbw:iwqwdp:172017.

    Full description at Econpapers || Download paper

14. Volatility, information feedback and market microstructure noise: A tale of two regimes. (2017). Hautsch, Nikolaus ; Andersen, Torben ; Cebiroglu, Gokhan.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:569.

    Full description at Econpapers || Download paper

15. Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Meddahi, Nour.
    In: TSE Working Papers.
    RePEc:tse:wpaper:31740.

    Full description at Econpapers || Download paper

16. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:20:y:2017:i:1:d:10.1007_s11203-016-9135-3.

    Full description at Econpapers || Download paper

17. Effects of Jumps and Small Noise in High-Frequency Financial Econometrics. (2017). Kunitomo, Naoto ; Kurisu, Daisuke.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:24:y:2017:i:1:d:10.1007_s10690-017-9223-4.

    Full description at Econpapers || Download paper

18. Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Meddahi, Nour.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:31735.

    Full description at Econpapers || Download paper

19. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Bibinger, Markus ; Winkelmann, Lars.
    In: Working Papers.
    RePEc:fip:fedlwp:2017-012.

    Full description at Econpapers || Download paper

20. Measuring Transaction Costs in the Absence of Timestamps. (2017). Zikes, Filip.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2017-45.

    Full description at Econpapers || Download paper

21. Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, J R.
    In: Economics Discussion Papers.
    RePEc:esx:essedp:20497.

    Full description at Econpapers || Download paper

22. Estimation of the realized (co-)volatility vector: Large deviations approach. (2017). Samoura, Yacouba ; Djellout, Hacene ; Guillin, Arnaud.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:127:y:2017:i:9:p:2926-2960.

    Full description at Econpapers || Download paper

23. Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

    Full description at Econpapers || Download paper

24. A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/243446.

    Full description at Econpapers || Download paper

25. Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2018-011.

    Full description at Econpapers || Download paper

26. Continuous Record Asymptotics for Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2018-010.

    Full description at Econpapers || Download paper

27. The microstructure of high frequency markets. (2017). Carmona, Rene ; Webster, Kevin.
    In: Papers.
    RePEc:arx:papers:1709.02015.

    Full description at Econpapers || Download paper

28. Estimation of a noisy subordinated Brownian Motion via two-scales power variations. (2017). Lee, K ; Figueroa-Lopez, Jose E.
    In: Papers.
    RePEc:arx:papers:1702.01164.

    Full description at Econpapers || Download paper

29. Bayesian Nonparametric Estimation of Ex-post Variance. (2016). Maheu, John ; Liu, Jia ; Griffin, Jim.
    In: MPRA Paper.
    RePEc:pra:mprapa:71220.

    Full description at Econpapers || Download paper

30. Sparse Change-point HAR Models for Realized Variance. (2016). Dufays, Arnaud.
    In: Cahiers de recherche.
    RePEc:lvl:crrecr:1607.

    Full description at Econpapers || Download paper

31. Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

    Full description at Econpapers || Download paper

32. Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:242-262.

    Full description at Econpapers || Download paper

33. Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Xiu, Dacheng ; Ait-Sahalia, Yacine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

    Full description at Econpapers || Download paper

34. Bootstrapping high-frequency jump tests. (2016). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Gonalves, Silvia ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2016s-24.

    Full description at Econpapers || Download paper

35. Intraday Trading Invariance in the E-mini S&P 500 Futures Market. (2016). Obizhaeva, Anna ; Andersen, Torben ; Bondarenko, Oleg ; Kyle, Albert S.
    In: Working Papers.
    RePEc:cfr:cefirw:w0229.

    Full description at Econpapers || Download paper

36. Liquidity determinants in the UK gilt market. (2016). Benos, Evangelos ; Zikes, Filip.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0600.

    Full description at Econpapers || Download paper

37. Big data challenges and opportunities in financial stability monitoring. (2016). Flood, Mark ; Raschid, L ; Jagadish, H V.
    In: Financial Stability Review.
    RePEc:bfr:fisrev:2016:20:14.

    Full description at Econpapers || Download paper

38. Volume, Volatility and Public News Announcements. (2016). Bollerslev, Tim ; Xue, Yuan ; Li, Jia.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-19.

    Full description at Econpapers || Download paper

39. On Effects of Jump and Noise in High-Frequency Financial Econometrics. (2015). Kunitomo, Naoto ; Kurisu, Daisuke.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2015cf996.

    Full description at Econpapers || Download paper

40. The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Sato, Seisho ; Kunitomo, Naoto ; Misaki, Hiroumi .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2015cf965.

    Full description at Econpapers || Download paper

41. A Robust Estimation of Integrated Volatility under Round-off Errors, Micro-market Price Adjustments and Noises. (2015). Sato, Seisho ; Kunitomo, Naoto.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2015cf964.

    Full description at Econpapers || Download paper

42. Principal Component Analysis of High Frequency Data. (2015). Xiu, Dacheng ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21584.

    Full description at Econpapers || Download paper

43. Cross-sectional Dependence in Idiosyncratic Volatility. (2015). Kalnina, Ilze ; Tewou, Kokouvi.
    In: Cahiers de recherche.
    RePEc:mtl:montec:08-2015.

    Full description at Econpapers || Download paper

44. Cross-sectional dependence in idiosyncratic volatility. (2015). Kalnina, Ilze ; Tewou, Kokouvi.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2015-04.

    Full description at Econpapers || Download paper

45. The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Sato, Seisho ; Kunitomo, Naoto ; Misaki, Hiroumi .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:22:y:2015:i:3:p:333-368.

    Full description at Econpapers || Download paper

46. Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). .
    In: Discussion paper series.
    RePEc:hit:hiasdp:2015-04.

    Full description at Econpapers || Download paper

47. Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). Yamamoto, Yohei.
    In: Discussion Papers.
    RePEc:hit:econdp:2015-05.

    Full description at Econpapers || Download paper

48. Superposition of COGARCH processes. (2015). Kluppelberg, Claudia ; Chong, Carsten ; Behme, Anita.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:4:p:1426-1469.

    Full description at Econpapers || Download paper

49. Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes. (2015). Patton, Andrew ; Liu, Lily ; Sheppard, Kevin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:1:p:293-311.

    Full description at Econpapers || Download paper

50. Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise. (2014). Fang, Yue ; Zhao, Xujie ; Yu, Chao ; Zhang, BO.
    In: MPRA Paper.
    RePEc:pra:mprapa:63293.

    Full description at Econpapers || Download paper

Report date: 2025-10-04 06:29:07 || Missing content? Let us know