Publications (26)
Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
Markus Bibinger
In this letter, we construct cusum change-point tests for the Hurst exponent and the volatility of a discretely observed fractional Brownian motion. As a statistical application of…
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Markus Bibinger, Mathias Vetter
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariat…
Nonparametric change-point analysis of volatility
Markus Bibinger, Moritz Jirak, Mathias Vetter
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an Itô semi-martingale, the latter being discretely observ…
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Markus Bibinger, Nikolaus Hautsch, Peter Malec +1
An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous obs…
Volatility estimation under one-sided errors with applications to limit order books
Markus Bibinger, Moritz Jirak, Markus ReiÃ
For a semi-martingale , which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation is constructed based on observations i…
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Markus Bibinger
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a hig…