Imagen de Portada

Inference from high-frequency data: A subsampling approach

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Christensen, Kim, Podolskij, Mark, Thamrongrat, Nopporn, Veliyev, Bezirgen
Formato:	Preprint
Publicado:	2026
Materias:	Econometrics
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

A machine learning approach to volatility forecasting
por: Christensen, Kim, et al.
Publicado: (2026)

The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
por: Christensen, Kim, et al.
Publicado: (2026)

Warp speed price moves: Jumps after earnings announcements
por: Christensen, Kim, et al.
Publicado: (2026)

Fact or friction: Jumps at ultra high frequency
por: Christensen, Kim, et al.
Publicado: (2026)

Treatment Evaluation at the Intensive and Extensive Margins
por: Heiler, Phillip, et al.
Publicado: (2024)

Realized range-based estimation of integrated variance
por: Christensen, Kim, et al.
Publicado: (2026)

Asymptotic theory of range-based multipower variation
por: Christensen, Kim, et al.
Publicado: (2026)

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
por: Christensen, Kim, et al.
Publicado: (2026)

Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
por: Christensen, Kim, et al.
Publicado: (2026)

Functional Sequential Treatment Allocation with Covariates
por: Kock, Anders Bredahl, et al.
Publicado: (2020)

On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
por: Christensen, Kim, et al.
Publicado: (2026)

Realised quantile-based estimation of the integrated variance
por: Christensen, Kim, et al.
Publicado: (2026)

High-dimensional estimation of quadratic variation based on penalized realized variance
por: Christensen, Kim, et al.
Publicado: (2021)

Algorithmic subsampling under multiway clustering
por: Chiang, Harold D., et al.
Publicado: (2021)

Tracking the economy at high frequency
por: García-Albán, Freddy, et al.
Publicado: (2025)

A GMM approach to estimate the roughness of stochastic volatility
por: Bolko, Anine E., et al.
Publicado: (2020)

Empirical likelihood approach for high-dimensional moment restrictions with dependent data
por: Chang, Jinyuan, et al.
Publicado: (2025)

To be or not to be: Roughness or long memory in volatility?
por: Bennedsen, Mikkel, et al.
Publicado: (2024)

Roughness Signature Functions
por: Christensen, Peter
Publicado: (2024)

The drift burst hypothesis
por: Christensen, Kim, et al.
Publicado: (2026)

The realized copula of volatility
por: Christensen, Kim, et al.
Publicado: (2026)

An unbounded intensity model for point processes
por: Christensen, Kim, et al.
Publicado: (2024)

Inference for Regression with Variables Generated by AI or Machine Learning
por: Battaglia, Laura, et al.
Publicado: (2024)

A nonparametric test for diurnal variation in spot correlation processes
por: Christensen, Kim, et al.
Publicado: (2024)

Counterfactual Sensitivity and Robustness
por: Christensen, Timothy, et al.
Publicado: (2019)

Do designated market makers provide liquidity during downward extreme price movements?
por: Bellia, Mario, et al.
Publicado: (2026)

Robust Two-Sample Mean Inference under Serial Dependence
por: Hounyo, Ulrich, et al.
Publicado: (2025)

Inference on panel data models with a generalized factor structure
por: Rodriguez-Poo, Juan M., et al.
Publicado: (2025)

Inference in dynamic models for panel data using the moving block bootstrap
por: Higgins, Ayden, et al.
Publicado: (2025)

On Robust Inference in Time Series Regression
por: Baillie, Richard T., et al.
Publicado: (2022)

Inference on LATEs with covariates
por: Boot, Tom, et al.
Publicado: (2024)

Assessing Inference Methods
por: Ferman, Bruno
Publicado: (2019)

A Grid-Rate Condition for Valid Uniform Inference
por: Tsyawo, Emmanuel Selorm
Publicado: (2026)

Inference for Interval-Identified Parameters Selected from an Estimated Set
por: Han, Sukjin, et al.
Publicado: (2024)

Jackknife Instrumental Variable Inference
por: Crudu, Federico, et al.
Publicado: (2026)

Causal Inference with Groupwise Matching
por: Rincón, Ratzanyel, et al.
Publicado: (2025)

Local Projections Bootstrap Inference
por: Gadea, María Dolores, et al.
Publicado: (2025)

Inference in Predictive Quantile Regressions
por: Maynard, Alex, et al.
Publicado: (2023)

Almost Dominance: Inference and Application
por: Song, Xiaojun, et al.
Publicado: (2023)

An Improved Inference for IV Regressions
por: Dou, Liyu, et al.
Publicado: (2025)