72 citations · 178 across the 21 of their papers we have counts for
20 papers · 1 filter
Asset-specific limit order microstructure noise: Parameter estimation and empirical evidence
Markus Bibinger, Adrian Grüber, Moritz Jirak
The one-sided microstructure noise model for high-frequency quotes from a limit order book is generalized to capture asset-specific noise tail behaviour. Estimation of a noise tail…
Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent
Markus Bibinger, Michael Sonntag
We develop and investigate a test for jumps based on high-frequency observations of a fractional process with an additive jump component. The Hurst exponent of the fractional proce…
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
Markus Bibinger
We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy obs…
Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities
Markus Bibinger, Patrick Bossert
We construct estimators for the parameters of a parabolic SPDE with one spatial dimension based on discrete observations of a solution in time and space on a bounded domain. We est…
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…
On central limit theorems for power variations of the solution to the stochastic heat equation
Markus Bibinger, Mathias Trabs
We consider the stochastic heat equation whose solution is observed discretely in space and time. An asymptotic analysis of power variations is presented including the proof of a c…