[PDF] Top 20 Point process based high frequency volatility estimation:theory and applications

... price volatility from the liquidity per- spective. Classic information-based MMS theory ...return volatility, due to the arrival of private information, which increases the degree of ... See full document

... on theory or on ...field theory, using Chapters 1 through 6, 9, 10, 11, 13 (the first part), 16, 17, 18 (the first part), 20, and ...and applications substituted according to the interests of the ... See full document

... This process of writing a matrix as a product of two such matrices, one of which preserves distance and the other which distorts is also important in applications to geometric measure theory an ... See full document

... The diffraction of P an d S waves by various obstacles is studied theoretically, in order to evaluate frequency dependent corrections to ray theory for elastic w[r] ... See full document

... 1. Ya.I.Alber and S.Guerre-Delabriere, Principle of weakly contractive maps in Hilbert spaces, in New Results in Operator Theory and Its Applications, I. Gohberg and Y. Lyubich, Eds., vol. 98 of Operator ... See full document

... fluctuation-dissipation theory, the noise induced by the environment to the system 22 ...very high resonance quality ...resonance frequency of the NEMS resonators depend highly on high quality ... See full document

... real-time volatility forecasts are needed for many applications, such as the real-time pricing of options and real-time risk management of trading ...a volatility forecasting model generates its best ... See full document

... spot volatility estimators based on the Realized Kernel estimator and the Pre-Averaging ...spot volatility weighted by the so-called delta sequence and have provided theoretical analysis; our ... See full document

... spot volatility estimators based on the Realized Kernel estimator and the Pre-Averaging ...spot volatility weighted by the so-called delta sequence and have provided theoretical analysis; our ... See full document

... estimate volatility and correlation ...the estimation process without any prior manipulation, that it was showed to induce a bias in the estimate, has always symbolized one of its most attractive ... See full document

... the high dimensional problem, there are some existing works for high frequency volatility estimation considering microstructure noise and non-synchoronous trading time for fixed ... See full document

... It is worth mentioning that the class of strict pseudocontractions includes properly the class of nonexpansive mappings. Moreover, we know from 4 that the class of pseudocontractions also includes properly the class of ... See full document

... spaced high-frequency financial data with ...stochastic volatility model, the durations follow an exponential distribution conditional on a latent intensity and the two latent variables, log-variance ... See full document

... DOI: 10.4236/tel.2019.97150 2363 Theoretical Economics Letters algorithms, programmed similarly, create herding and weaken the stability of the financial markets. There is less emphasis on potential change in ... See full document

... the estimation results for the MRS-BEKK ...of volatility which is not persistent unless the volatility process stay in regime 1 in the following ... See full document

... include volatility clustering, lever- age effects and fat tails. Volatility clustering refers to the observation that volatility is persistent: periods of high volatility tend to ... See full document

... fixed point method to prove the Hyers-Ulam-Rassias stability of the functional equation ...fixed point method for studying the stability problems of ...fixed point theory to this ... See full document

... level-dependent volatility estimation for jump diffusion models and propose a range-based threshold spot volatility estimator with high frequency discrete obser- ... See full document

... alized Volatility case, this adjustm ent of d a ta improves precision of ...with high volumes traded, and conjecture th at they are due to non-trivial liquidity ...is based on the fact th at they ... See full document

... The optimized proxy easily outperforms all proxies in Tables 1 and 2. If one extrapolates the full sample prescaled variances of the realized volatilities of Table 1 to a time interval of length zero (corresponding to ... See full document