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 …

The availability of high frequency financial data has generated a series of estimators based
on intra‐day data, improving the quality of large areas of financial econometrics. However …

We develop a model for point processes on the real line, where the intensity can be locally
unbounded without inducing an explosion. In contrast to an orderly point process, for which …

We propose three Realized-GARCH-Kernel-type models which do not make the distribution
assumptions on the return disturbance terms. We use this type of model to predict the return …

We develop a model for point processes on the real line, where the intensity can be locally
unbounded without inducing an explosion. In contrast to an orderly point process, for which …

This paper develops a new statistical inference theory for the precision matrix of high-
frequency data in a high-dimensional setting. The focus is not only on point estimation but …

Realised volatility has become increasingly prominent in volatility forecasting due to its
ability to capture intraday price fluctuations. With a growing variety of realised volatility …

We develop a model for point processes on the real line, where the intensity can be locally
unbounded without inducing an explosion. In contrast to an orderly point process, for which …

We consider the problem of conducting inference on nonparametric high-frequency
estimators without knowing their asymptotic variances. We prove that a multivariate …

In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic
variation (QV) of a high-dimensional continuous Itô semimartingale. We adapt the principle …