72 citations · 178 across the 21 of their papers we have counts for
Showing 2014 · math.STShow all
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math.ST2014★ 1 cited
Common price and volatility jumps in noisy high-frequency data
Markus Bibinger, Lars Winkelmann
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust…
math.ST2014★ 23 cited
Functional stable limit theorems for quasi-efficient spectral covolatility estimators
Randolf Altmeyer, Markus Bibinger
We consider noisy non-synchronous discrete observations of a continuous semimartingale with random volatility. Functional stable central limit theorems are established under high-f…