Robust jump regressions

Robust jump regressions

We develop robust inference methods for studying linear dependence between the jumps of discretely observed processes at high frequency. Unlike classical linear regressions, jump regressions are determined by a small number of jumps occurring over a fixed time interval and the rest of the components...

Saved in:

書目詳細資料
Main Authors:	LI, Jia, TODOROV, Viktor, TAUCHEN, George
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2017
主題:	High-frequency data; Jumps; Microstructure noise; Robust regression; Semimartingale Econometrics Economic Theory
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/2570 https://ink.library.smu.edu.sg/context/soe_research/article/3569/viewcontent/Robust_Jump_Regressions.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

Jump regressions
由: LI, Jia, et al.
出版: (2017)

Mixed-scale jump regressions with bootstrap inference
由: LI, Jia, et al.
出版: (2017)

Rank tests at jump events
由: LI, Jia, et al.
出版: (2019)

Jump factor models in large cross-sections
由: LI, Jia, et al.
出版: (2019)

Testing for jumps in noisy high frequency data
由: AIT-SAHALIA, Yacine, et al.
出版: (2012)

Generalized jump regressions for local moments
由: BOLLERSLEV, Tim, et al.
出版: (2021)

Robust estimation and inference for jumps in noisy high frequency data: A Local-to-Continuity Theory for the pre-averaging method
由: LI, Jia
出版: (2013)

Inference theory on volatility functional dependencies
由: LI, Jia, et al.
出版: (2016)

Variation and efficiency of high-frequency betas
由: ZHANG, Congshan, et al.
出版: (2022)

High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
由: CHEN, Dachuan
出版: (2024)

Efficient estimation of integrated volatility functionals via multi-scale jackknife
由: LI, Jia, et al.
出版: (2019)

Reading the candlesticks: An OK estimator for volatility
由: LI, Jia, et al.
出版: (2024)

On estimating market microstructure noise variance
由: DONG, Yingjie, et al.
出版: (2017)

Adaptive estimation of continuous-time regression models using high-frequency data
由: LI, Jia, et al.
出版: (2017)

Generalized method of integrated moments for high-frequency data
由: LI, Jia, et al.
出版: (2016)

Asymptotic inference about predictive accuracy using high frequency data
由: LI, Jia, et al.
出版: (2018)

Volatility occupation times
由: LI, Jia, et al.
出版: (2013)

Occupation density estimation for noisy high-frequency data
由: ZHANG, Congshan, et al.
出版: (2022)

Fixed-k inference for volatility
由: BOLLERSLEV, Tim, et al.
出版: (2021)

Estimating the volatility occupation time via regularized Laplace inversion
由: LI, Jia, et al.
出版: (2016)

Glivenko-Cantelli Theorems for integrated functionals of stochastic processes
由: LI, Jia, et al.
出版: (2021)

Permutation-based tests for discontinuities in event studies
由: BUGNI, Federico, et al.
出版: (2022)

Realized semicovariances
由: Bollerslev, Tim, et al.
出版: (2020)

Nature of VIX jumps on market timing of hedge funds
由: LIN, Yueh-Neng, et al.
出版: (2012)

Predictive Regression under Various Degrees of Persistence and Robust Long-Horizon Regression
由: Peter C. B. PHILLIPS,, et al.
出版: (2013)

Testing the dimensionality of policy shocks
由: LI, Jia, et al.
出版: (2022)

A state space model approach to integrated covariance matrix estimation with high frequency data
由: Liu, Cheng, et al.
出版: (2013)

Three Essays on Financial Econometrics
由: LIANG, Jiang
出版: (2015)

Three essays on financial econometrics
由: LIANG, Jiang
出版: (2015)

Optimal inference for spot regressions
由: BOLLERSLEV, Tim, et al.
出版: (2024)

Robust Nonparametric Regression Using Kernel Smoothing
由: ZHANG XIAOE
出版: (2010)

Robust inference with stochastic local unit root regressors in predictive regressions
由: LIU, Yanbo, et al.
出版: (2023)

Covariance Matrix Estimation with High Frequency Financial Data
由: LIU CHENG
出版: (2013)

Cross-Validation in Nonparametric Regression with Outliers
由: Leung, Denis H. Y.
出版: (2005)

Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
由: FULOP, Andras, et al.
出版: (2012)

Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach
由: LIU, Shouwei, et al.
出版: (2015)

A New Model for Temperature Jump at a Fluid-Solid Interface
由: Shu, Jian-Jun, et al.
出版: (2016)

Weak convergence to stochastic integrals for econometric applications
由: LIANG, Hanying, et al.
出版: (2016)

Disagreement in Market Index Options
由: SALOME, Guilherme, et al.
出版: (2023)

Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations
由: JIANG, Liang, et al.
出版: (2021)