154 citations · 328 across the 8 of their papers we have counts for
4 papers · 1 filter
Local Parametric Estimation in High Frequency Data
Yoann Potiron, Per Mykland
In this paper, we give a general time-varying parameter model, where the multidimensional parameter possibly includes jumps. The quantity of interest is defined as the integrated v…
Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data
Richard Y. Chen, Per A. Mykland
In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity…
Estimation of integrated quadratic covariation with endogenous sampling times
Yoann Potiron, Per Mykland
When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on…
Are volatility estimators robust with respect to modeling assumptions?
Yingying Li, Per A. Mykland
We consider microstructure as an arbitrary contamination of the underlying latent securities price, through a Markov kernel . Special cases include additive error, rounding and…