Information loss in volatility measurement with flat price trading-Reference-Cited by-同舟云学术

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Information loss in volatility measurement with flat price trading

Published:2023-01-11 Issue:6 Volume:64 Page:2957-2999
ISSN:0377-7332
Container-title:Empirical Economics
language:en
Short-container-title:Empir Econ

Author:

Phillips Peter C. B.^ORCID,Yu Jun

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s00181-022-02353-y.pdf

Reference48 articles.

1. Aït-Sahalia Y, Mykland PA, Zhang L (2005) How often to sample a continuous-time process in the presence of market microstructure noise. Rev Financ Stud 18:351–416

2. Aït-Sahalia Y, Mykland PA, Zhang L (2011) Ultra high frequency volatility estimation with dependent microstructure noise. J Econom 160:160–175

3. Andersen TG, Bollerslev T, Diebold FX (2010) “CHAPTER 2 - Parametric and Nonparametric Volatility Measurement,” In: Handbook of financial econometrics: tools and techniques, Aït-Sahalia Y, Hansen LP, San Diego: North-Holland, vol. 1 of Handbooks in Finance, pp 67–137

4. Andersen TG, Bollerslev T, Diebold FX, Ebens H (2001) The distribution of realized stock return volatility. J Financ Econ 61:43–76

5. Andersen TG, Bollerslev T, Diebold FX, Labys P (2001) The distribution of realized exchange rate volatility. J Am Stat Assoc 96:42–55

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