Information loss in volatility measurement with flat price trading
Year of publication: |
2023
|
---|---|
Authors: | Phillips, Peter C. B. ; Yu, Jun |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 64.2023, 6, p. 2957-2999
|
Subject: | Bernoulli process | Brownian semimartingale | Calvo pricing | Flat trading | Microstructure noise | Quarticity function | Realized volatility | Stopping times | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process | Noise Trading | Noise trading | Martingal | Martingale | Optionspreistheorie | Option pricing theory |
-
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying, (2020)
-
Information Loss in Volatility Measurement with Flat Price Trading
Phillips, Peter C. B., (2009)
-
Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian, (2000)
- More ...
-
Phillips, Peter C. B., (2011)
-
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
Shi, Shu-Ping, (2011)
-
Indirect Inference for Dynamic Panel Models
Gouriéroux, Christian, (2006)
- More ...