:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Cavaliere, Giuseppe, Mikosch, Thomas, Rahbek, Anders, Vilandt, Frederik
Format:	Preprint
Published:	2025
Subjects:	Econometrics Statistics Theory Statistical Finance
Online Access:	https://arxiv.org/abs/2505.06190
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
by: Boniece, B. Cooper, et al.
Published: (2022)

Bootstrap Diagnostic Tests
by: Cavaliere, Giuseppe, et al.
Published: (2025)

Volatility of Volatility and Leverage Effect from Options
by: Chong, Carsten H., et al.
Published: (2023)

A Test for Jumps in Metric-Space Conditional Means
by: Van Dijcke, David
Published: (2025)

A nonparametric test for rough volatility
by: Chong, Carsten H., et al.
Published: (2024)

Sparse spanning portfolios and under-diversification with second-order stochastic dominance
by: Arvanitis, Stelios, et al.
Published: (2024)

Efficient Asymmetric Causality Tests
by: Hatemi-J, Abdulnasser
Published: (2024)

Higher-order Gini indices: An axiomatic approach
by: Han, Xia, et al.
Published: (2025)

Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
by: Jha, Ayush, et al.
Published: (2024)

When can weak latent factors be statistically inferred?
by: Fan, Jianqing, et al.
Published: (2024)

Fitting an Equation to Data Impartially
by: Tofallis, Chris
Published: (2024)

Multi-period static hedging of European options
by: Banerjee, Purba, et al.
Published: (2023)

Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
by: Kock, Anders Bredahl, et al.
Published: (2024)

Superconsistency of Tests in High Dimensions
by: Kock, Anders Bredahl, et al.
Published: (2021)

Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF)
by: Lipiecki, Arkadiusz, et al.
Published: (2025)

Multiscale Causal Analysis of Market Efficiency via News Uncertainty Networks and the Financial Chaos Index
by: Ataei, Masoud
Published: (2025)

Adaptive Market Intelligence: A Mixture of Experts Framework for Volatility-Sensitive Stock Forecasting
by: Vallarino, Diego
Published: (2025)

A Nonlinear Target-Factor Model with Attention Mechanism for Mixed-Frequency Data
by: Brini, Alessio, et al.
Published: (2026)

What events matter for exchange rate volatility ?
by: Martins, Igor, et al.
Published: (2024)

The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots
by: Zhou, Wei-Xing, et al.
Published: (2023)

Method of Moments Estimation for Affine Stochastic Volatility Models
by: Wu, Yan-Feng, et al.
Published: (2024)

iCOS: Option-Implied COS Method
by: Vladimirov, Evgenii
Published: (2023)

Assets Forecasting with Feature Engineering and Transformation Methods for LightGBM
by: Bisdoulis, Konstantinos-Leonidas
Published: (2024)

Dynamic Latent-Factor Model with High-Dimensional Asset Characteristics
by: Baybutt, Adam
Published: (2024)

Are there Dragon Kings in the Stock Market?
by: Liu, Jiong, et al.
Published: (2023)

Enhanced power enhancements for testing many moment equalities: Beyond the $2$- and $\infty$-norm
by: Kock, Anders Bredahl, et al.
Published: (2024)

High-Dimensional Spatial Arbitrage Pricing Theory with Heterogeneous Interactions
by: Gao, Zhaoxing, et al.
Published: (2025)

Debiased Regression for Root-N-Consistent Conditional Mean Estimation
by: Kato, Masahiro
Published: (2024)

Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models
by: Moriya, Koichiro, et al.
Published: (2026)

Estimating Counterfactual Matrix Means with Short Panel Data
by: Lei, Lihua, et al.
Published: (2023)

Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets
by: Deng, Qi, et al.
Published: (2024)

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
by: Schroers, Dennis
Published: (2024)

HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning
by: Audrino, Francesco, et al.
Published: (2024)

Do t-Statistic Hurdles Need to be Raised?
by: Chen, Andrew Y.
Published: (2022)

Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
by: Wu, Fan, et al.
Published: (2026)

On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
by: Moriya, Koichiro, et al.
Published: (2023)

Testing Conditional Stochastic Dominance at Target Points
by: Bugni, Federico A., et al.
Published: (2025)

Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
by: Krabbe, Frederik
Published: (2024)

Conditional Likelihood Ratio Test with Many Weak Instruments
by: Ayyar, Sreevidya, et al.
Published: (2022)

The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity
by: Casini, Alessandro
Published: (2021)