We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high‐frequency returns, and we derive the asymptotic properties …
TG Andersen, T Su, V Todorov… - Journal of the American …, 2024 - Taylor & Francis
The volatility of financial asset returns displays pronounced variation over the trading day. Our goal is nonparametric inference for the average intraday volatility pattern, viewed as a …
In this paper, we propose a nonparametric way to test the hypothesis that time-variation in intraday volatility is caused solely by a deterministic and recurrent diurnal pattern. We …
Outlying observations can bias regression estimates, requiring the use of outlier-robust estimators. Comparing robust estimates to those obtained using ordinary least squares …
J Barunik, L Vacha - Journal of Financial Markets, 2018 - Elsevier
We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps …
M Bibinger, N Hautsch, A Ristig - arXiv preprint arXiv:2403.00819, 2024 - arxiv.org
We propose methods to infer jumps of a semi-martingale, which describes long-term price dynamics based on discrete, noisy, high-frequency observations. Different to the classical …
A Kolokolov, R Renò - Journal of Business & Economic Statistics, 2024 - Taylor & Francis
Even moderate amounts of zero returns in financial data, associated with stale prices, are heavily detrimental for reliable jump inference. We harness staleness-robust estimators to …
U Hounyo - Journal of Econometrics, 2017 - Elsevier
We propose a bootstrap method for estimating the distribution (and functionals of it such as the variance) of various integrated covariance matrix estimators. In particular, we first adapt …
J Li, V Todorov, G Tauchen, R Chen - Journal of Econometrics, 2017 - Elsevier
We develop an efficient mixed-scale estimator for jump regressions using high-frequency asset returns. A fine time scale is used to accurately identify the locations of large rare jumps …