create a website

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

Cited: 0

Citations received by this document

Cites: 84

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Aı̈t-Sahalia, Y., Jacod, J., 2014. High-frequency financial econometrics. Princeton University Press, New Jersey, USA.

  2. Avellaneda, M., Lee, J.-H., 2010. Statistical arbitrage in the US equities market. Quantitative Finance 10 (7), 761–782.

  3. Bacon, C. R., 2008. Practical portfolio performance: Measurement and attribution, 2nd Edition. John Wiley & Sons, Chichester, England.
    Paper not yet in RePEc: Add citation now
  4. Bai, Y., Wu, L., 2017. Analytic value function for optimal regime-switching pairs trading rules. Quantitative Finance, forthcoming.
    Paper not yet in RePEc: Add citation now
  5. Barlow, M. T., 2002. A diffusion model for electricity prices. Mathematical Finance 12 (4), 287–298.

  6. Baviera, R., Baldi, T. S., 2017. Stop-loss and leverage in optimal statistical arbitrage with an application to energy market. Working paper, Politecnico di Milano.

  7. Bayraktar, E., Xing, H., 2011. Pricing Asian options for jump diffusion. Mathematical Finance 21 (1), 117–143.
    Paper not yet in RePEc: Add citation now
  8. Bertram, W. K., 2009. Optimal trading strategies for Itô diffusion processes. Physica A: Statistical Mechanics and its Applications 388 (14), 2865–2873.

  9. Bertram, W. K., 2010a. Analytic solutions for optimal statistical arbitrage trading. Physica A: Statistical Mechanics and its Applications 389 (11), 2234–2243.

  10. Bertram, W. K., 2010b. A non-stationary model for statistical arbitrage trading. Working paper, ITG Australia Limited.
    Paper not yet in RePEc: Add citation now
  11. Bogomolov, T., 2013. Pairs trading based on statistical variability of the spread process.

  12. Bollinger, J., 1992. Using Bollinger bands. Stocks & Commodities 10 (2), 47–51.
    Paper not yet in RePEc: Add citation now
  13. Bollinger, J., 2001. Bollinger on Bollinger bands. McGraw-Hill, New York, USA.
    Paper not yet in RePEc: Add citation now
  14. Borovkov, K., Novikov, A., 2008. On exit times of Lévy-driven Ornstein–Uhlenbeck processes.

  15. Bowen, D. A., Hutchinson, M. C., 2016. Pairs trading in the UK equity market: Risk and return. The European Journal of Finance 22 (14), 1363–1387.

  16. Cai, N., Kou, S. G., 2011. Option pricing under a mixed-exponential jump diffusion model.

  17. Carr, P., Geman, H., Madan, D. B., Yor, M., 2002. The fine structure of asset returns: An empirical investigation. The Journal of Business 75 (2), 305–332.

  18. Carr, P., Wu, L., 2004. Time-changed Lévy processes and option pricing. Journal of Financial Economics 71 (1), 113–141.

  19. Cartea, Á., Figueroa, M. G., 2005. Pricing in electricity markets: A mean reverting jump diffusion model with seasonality. Applied Mathematical Finance 12 (4), 313–335.

  20. Clegg, M., Krauss, C., 2016. Pairs trading with partial cointegration. FAU Discussion Papers in Economics (5), University of Erlangen-Nürnberg.

  21. Cont, R., 2001. Empirical properties of asset returns: Stylized facts and statistical issues. Quantitative Finance 1 (2), 223–236.

  22. Cont, R., Mancini, C., 2011. Nonparametric tests for pathwise properties of semimartingales. Bernoulli 17 (2), 781–813.
    Paper not yet in RePEc: Add citation now
  23. Cont, R., Tankov, P., 2003. Financial modelling with jump processes. Vol. 2. CRC Press, London, England.
    Paper not yet in RePEc: Add citation now
  24. Cummins, M., Bucca, A., 2012. Quantitative spread trading on crude oil and refined products markets. Quantitative Finance 12 (12), 1857–1875.

  25. Do, B., Faff, R., 2010. Does simple pairs trading still work? Financial Analysts Journal 66 (4), 83–95.
    Paper not yet in RePEc: Add citation now
  26. Do, B., Faff, R., 2012. Are pairs trading profits robust to trading costs? Journal of Financial Research 35 (2), 261–287.

  27. Ekström, E., Lindberg, C., Tysk, J., 2011. Optimal liquidation of a pairs trade. In: Di Nunno, G., Øksendal, B. (Eds.), Advanced mathematical methods for finance. Springer, Berlin, Heidelberg, pp. 247–255.
    Paper not yet in RePEc: Add citation now
  28. Elliott, R. J., van der Hoek, J., Malcolm, W. P., 2005. Pairs trading. Quantitative Finance 5 (3), 271–276.

  29. Eraker, B., 2004. Do stock prices and volatility jump? Reconciling evidence from spot and option prices. The Journal of Finance 59 (3), 1367–1403.

  30. Fama, E. F., French, K. R., 1996. Multifactor explanations of asset pricing anomalies. The Journal of Finance 51 (1), 55–84.

  31. Fama, E. F., French, K. R., 2015. A five-factor asset pricing model. Journal of Financial Economics 116 (1), 1–22.

  32. Fox, P., 1997. The port mathematical subroutine library, version 3. AT&T Bell Laboratories, Murray Hill.
    Paper not yet in RePEc: Add citation now
  33. Gatev, E., Goetzmann, W. N., Rouwenhorst, K. G., 1999. Pairs trading: Performance of a relative value arbitrage rule. Working paper, Yale School of Management’s International Center for Finance.

  34. Gatev, E., Goetzmann, W. N., Rouwenhorst, K. G., 2006. Pairs trading: Performance of a relative-value arbitrage rule. Review of Financial Studies 19 (3), 797–827.

  35. Gay, D. M., 1990. Usage summary for selected optimization routines. Computing science technical report 153, 1–21.
    Paper not yet in RePEc: Add citation now
  36. Gerber, H. U., Shiu, E. S. W., Yang, H., 2013. Valuing equity-linked death benefits in jump diffusion models. Insurance: Mathematics and Economics 53 (3), 615–623.

  37. Göncü, A., Akyıldırım, E., 2016a. Statistical arbitrage with pairs trading. International Review of Finance 16 (2), 307–319.

  38. Göncü, A., Akyıldırım, E., 2016b. A stochastic model for commodity pairs trading. Quantitative Finance 16 (12), 1843–1857.
    Paper not yet in RePEc: Add citation now
  39. Govender, K., 2011. Statistical arbitrage in South African financial markets. Working paper, University of Cape Town.
    Paper not yet in RePEc: Add citation now
  40. Gregory, I., Ewald, C.-O., Knox, P., 2011. Analytical pairs trading under different assumptions on the spread and ratio dynamics. Working paper, University of Sydney.
    Paper not yet in RePEc: Add citation now
  41. Hameed, A., Mian, G. M., 2015. Industries and stock return reversals. Journal of Financial and Quantitative Analysis 50 (1-2), 89–117.

  42. Huang, J.-Z., Huang, M., 2012. How much of the corporate-treasury yield spread is due to credit risk? The Review of Asset Pricing Studies 2 (2), 153–202.

  43. Huck, N., Afawubo, K., 2015. Pairs trading and selection methods: Is cointegration superior? Applied Economics 47 (6), 599–613.

  44. Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance 48 (1), 65–91.

  45. Jing, B.-Y., Kong, X.-B., Liu, Z., 2012. Modeling high-frequency financial data by pure jump processes. Annals of Statistics, 759–784.
    Paper not yet in RePEc: Add citation now
  46. Johannes, M., Kumar, R., Polson, N. G., 1999. State dependent jump models: How do US equity indices jump? Woking Paper, University of Chicago.
    Paper not yet in RePEc: Add citation now
  47. Jondeau, E., Lahaye, J., Rockinger, M., 2015. Estimating the price impact of trades in a high-frequency microstructure model with jumps. Journal of Banking & Finance 61 (2), 205–224.

  48. Kanamura, T., Rachev, S. T., Fabozzi, F. J., 2010. A profit model for spread trading with an application to energy futures. The Journal of Trading 5 (1), 48–62.
    Paper not yet in RePEc: Add citation now
  49. Knoll, J., Stübinger, J., Grottke, M., 2017. Exploiting social media with higher-order factorization machines: Statistical arbitrage on high-frequency data of the S&P 500. FAU Discussion Papers in Economics (13), University of Erlangen-Nürnberg.
    Paper not yet in RePEc: Add citation now
  50. Kou, S. G., 2002. A jump-diffusion model for option pricing. Management Science 48 (8), 1086–1101.

  51. Kou, S. G., Wang, H., 2003. First passage times of a jump diffusion process. Advances in Applied Probability 35 (2), 504–531.
    Paper not yet in RePEc: Add citation now
  52. Kou, S., Yu, C., Zhong, H., 2017. Jumps in equity index returns before and during the recent financial crisis: A Bayesian analysis. Management Science 63 (4), 988–1010.

  53. Krauss, C., Stübinger, J., 2017. Non-linear dependence modelling with bivariate copulas: Statistical arbitrage pairs trading on the S&P 100. Applied Economics 49 (52), 5352– 5369.
    Paper not yet in RePEc: Add citation now
  54. Larsson, S., Lindberg, C., Warfheimer, M., 2013. Optimal closing of a pair trade with a model containing jumps. Applications of Mathematics 58 (3), 249–268.
    Paper not yet in RePEc: Add citation now
  55. Leung, T., Li, X., 2015a. Optimal mean reversion trading: Mathematical analysis and practical applications. World Scientific, New Jersey, USA.

  56. Leung, T., Li, X., 2015b. Optimal mean reversion trading with transaction costs and stop-loss exit. International Journal of Theoretical and Applied Finance 18 (3), 1550020.

  57. Li, H., Wells, M. T., Yu, C. L., 2008. A Bayesian analysis of return dynamics with Lévy jumps. Review of Financial Studies 21 (5), 2345–2378.

  58. Li, X., 2015. Optimal multiple stopping approach to mean reversion trading. PhD thesis, Columbia University.
    Paper not yet in RePEc: Add citation now
  59. Liu, B., Chang, L.-B., Geman, H., 2017. Intraday pairs trading strategies on high frequency data: The case of oil companies. Quantitative Finance 17 (1), 87–100.

  60. Lubnaua, T., Todorova, N., 2015. Trading on mean-reversion in energy futures markets. Energy Economics 51, 312–319.

  61. Mai, D.-M. H., 2012. Drift estimation for jump diffusions: Time-continuous and highfrequency observations. Ph.D. thesis, Humboldt-Universität zu Berlin.
    Paper not yet in RePEc: Add citation now
  62. Mai, H., 2014. Efficient maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck processes. Bernoulli 20 (2), 919–957.
    Paper not yet in RePEc: Add citation now
  63. Mancini, C., 2009. Non–parametric threshold estimation for models with stochastic diffusion coefficient and jumps. Scandinavian Journal of Statistics 36 (2), 270–296.

  64. Mathematical Problems in Engineering (2017), 1–13.
    Paper not yet in RePEc: Add citation now
  65. Meyer-Brandis, T., Tankov, P., 2008. Multi-factor jump-diffusion models of electricity prices. International Journal of Theoretical and Applied Finance 11 (5), 503–528.

  66. Miao, G. J., 2014. High frequency and dynamic pairs trading based on statistical arbitrage using a two-stage correlation and cointegration approach. International Journal of Economics and Finance 6 (3), 96–110.
    Paper not yet in RePEc: Add citation now
  67. Mina, J., Xiao, J. Y., 2001. Return to RiskMetrics: The evolution of a standard. RiskMetrics Group.
    Paper not yet in RePEc: Add citation now
  68. Peterson, B. G., Carl, P., 2014. PerformanceAnalytics: Econometric tools for performance and risk analysis. R package.
    Paper not yet in RePEc: Add citation now
  69. QuantQuote, 2016. QuantQuote market data and software. https://www.quantquote.com/.
    Paper not yet in RePEc: Add citation now
  70. R Core Team, 2017. R package stats: A language and environment for statistical computing. R package.
    Paper not yet in RePEc: Add citation now
  71. Ramezani, C. A., Zeng, Y., 1998. Maximum likelihood estimation of asymmetric jumpdiffusion processes: Application to security prices. Working paper, California Polytechnic State University.
    Paper not yet in RePEc: Add citation now
  72. Ramezani, C. A., Zeng, Y., 2007. Maximum likelihood estimation of the double exponential jump-diffusion process. Annals of Finance 3 (4), 487–507.

  73. Ryan, J. A., Ulrich, J. M., 2014. xts: eXtensible time series. R package.
    Paper not yet in RePEc: Add citation now
  74. S&P 500 Dow Jones Indices, 2015. Equity S&P 500. http://us.spindices.com/indices/equity/sp-500.
    Paper not yet in RePEc: Add citation now
  75. Sepp, A., 2003. Fourier transform for option pricing under affine jump-diffusions: An overview. Working paper, University of Tartu.
    Paper not yet in RePEc: Add citation now
  76. Stübinger, J., Bredthauer, J., 2017. Statistical arbitrage pairs trading with high-frequency data. International Journal of Economics and Financial Issues 7 (4), 650–662.

  77. Stübinger, J., Endres, S., 2017. Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. FAU Discussion Papers in Economics (10), University of ErlangenNürnberg.

  78. Stübinger, J., Mangold, B., Krauß, C., 2016. Statistical arbitrage with vine copulas. FAU Discussion Papers in Economics (11), University of Erlangen-Nürnberg.

  79. Su, X., Bai, M., 2017. First-passage time model driven by Lévy process for pricing CoCos.
    Paper not yet in RePEc: Add citation now
  80. Suzuki, K., 2017. Optimal pair-trading strategy over long/short/square positions—empirical study. Quantitative Finance, forthcoming.
    Paper not yet in RePEc: Add citation now
  81. Tsay, R. S., 2005. Analysis of financial time series. John Wiley & Sons, New Jersey, USA.
    Paper not yet in RePEc: Add citation now
  82. Ulrich, J., 2016. TTR: Technical trading rules. R package.
    Paper not yet in RePEc: Add citation now
  83. Vidyamurthy, G., 2004. Pairs trading: Quantitative methods and analysis. John Wiley & Sons, Hoboken, USA.
    Paper not yet in RePEc: Add citation now
  84. Zeng, Z., Lee, C.-G., 2014. Pairs trading: Optimal thresholds and profitability. Quantitative Finance 14 (11), 1881–1893.

Cocites

Documents in RePEc which have cited the same bibliography

  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

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-05 10:09:21 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.