1 Great Winchester Street
London, EC2N 2DB
London, England WC2A 2AE
Deutsche Bank AG (London)
London School of Economics & Political Science (LSE) - Department of Statistics
in Total Papers Downloads
in Total Papers Citations
Commodities, commodity futures, risk premium, volatility, skewness, kurtosis, autocorrelation
Commodities, commodity futures, correlation, tail-dependence, SJC copula, inflation
commodities, active asset management, return predictability, Commitment of Traders report
Derivatives Risks, Model Risk, Hedging Strategies, Hedging Performance, Simulation Study
High Frequency Data, Realized Volatility, Market Microstructure, Temporal Aggregation, Fractional Integration, GARCH
realized covariance, optimal sampling, lead-lag correlations, bias correction
compound poisson process, high frequency data, market microstructure, characteristic function, OU process, realized variance bias, optimal sampling
Investor Sentiment, Dynamic Asset Allocation
swap variance, jumps, bi-power variation, market microstructure noise
jump variation, high-frequency data, market microstructure noise, pre-averaging, realised variation, outliers
realized variance, tick time, transaction time, pure jump process, market microstructure noise, optimal sampling
high frequency data, market microstructure noise, pure jump process, optimal sampling
affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data
affine jump diffusion, generalized method of moments, high-frequency data, latent state variables, unbiased minimum-variance estimator
Finite activity jumps, Integrated variance, Market micro-structure noise, Order statistics, Realised variance
covariance estimation, blocking, realized kernel, regularization, microstructure noise, asynchronous trading
factor models, high-frequency data, realized covariance, microstructure noise, non-synchronous trading
realized variance, market microstructure noise, bias correction, pure jump process, diffusion limit, optimal sampling
bias correction, diffusion limit, market microstructure noise, optimal sampling, pure jump process, realized variance
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: jbfa.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
drift bursts; flash crashes; liquidity; volatility bursts; non-parametric statistics; reversals
Aggregation, Liquidity Access, Transaction Costs, Adverse Selection, Prisoner's Dilemma, Market Impact
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.838 seconds