Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach

Bias in the effective bid-ask spread

(2021) Björn Hagströmer   JOURNAL OF FINANCIAL ECONOMICS

Estimation for high-frequency data under parametric market microstructure noise

(2020) Simon Clinet et al.   ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS

Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

(2019) Simon Clinet et al.   JOURNAL OF ECONOMETRICS

Disentangling Sources of High Frequency Market Microstructure Noise

(2019) Simon Clinet et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise

(2018) Yingying Li et al.   JOURNAL OF ECONOMETRICS

Multimodal Similarity Gaussian Process Latent Variable Model

(2017) Guoli Song et al.   IEEE TRANSACTIONS ON IMAGE PROCESSING

On high frequency estimation of the frictionless price: The use of observed liquidity variables

(2017) Selma Chaker   JOURNAL OF ECONOMETRICS

Efficient estimation of integrated volatility incorporating trading information

(2016) Yingying Li et al.   JOURNAL OF ECONOMETRICS

Spot volatility estimation using delta sequences

(2015) Cecilia Mancini et al.   FINANCE AND STOCHASTICS

Estimating spot volatility with high-frequency financial data

(2014) Yang Zu et al.   JOURNAL OF ECONOMETRICS

Riemann manifold Langevin and Hamiltonian Monte Carlo methods

(2011) Mark Girolami et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Quasi-maximum likelihood estimation of volatility with high frequency data

(2010) Dacheng Xiu   JOURNAL OF ECONOMETRICS

Testing for jumps in a discretely observed process

(2009) Yacine Aït-Sahalia et al.   ANNALS OF STATISTICS

Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

(2009) Mark Podolskij et al.   BERNOULLI

Non-parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

(2009) CECILIA MANCINI   SCANDINAVIAN JOURNAL OF STATISTICS

Moving Average-Based Estimators of Integrated Variance

(2008) Peter R. Hansen et al.   Econometric Reviews

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

(2008)   ECONOMETRICA

Microstructure noise in the continuous case: The pre-averaging approach

(2008) Jean Jacod et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS