Estimation of quarticity with high-frequency data

The Estimation of Leverage effect with High Frequency Data

The leverage effect has become an extensively studied phenomenon which describes the (usually) negative relation between stock returns and their volatility. Although this characteristic of stock returns is well acknowledged, most studies of the phenomenon are based on cross-sectional calibration with parametric models. On the statistical side, most previous works are conducted over daily or lon...

Spot volatility estimation for high-frequency data

The availability of high-frequency intraday data allows us to accurately estimate stock volatility. This paper employs a bivariate diffusion to model the price and volatility of an asset and investigates kernel type estimators of spot volatility based on highfrequency return data. We establish both pointwise and global asymptotic distributions for the estimators. Jianqing Fan is Frederick Moore...

A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity

We provide a first in-depth look at robust estimation of integrated quarticity (IQ) based on high frequency data. IQ is the key ingredient enabling inference about volatility and the presence of jumps in financial time series and is thus of considerable interest in applications. We document the significant empirical challenges for IQ estimation posed by commonly encountered data imperfections a...

A New High Frequency Grid Impedance Estimation Technique for the Frequency Range of 2 to150 kHz

Grid impedance estimation is used in many power system applications such as grid connected renewable energy systems and power quality analysis of smart grids. The grid impedance estimation techniques based on signal injection uses Ohm’s law for the estimation. In these methods, one or several signal(s) is (are) injected to Point of Common Coupling (PCC). Then the current through and voltage of ...

Estimation of Continuous–Time Financial Models Using High–Frequency Data