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Estimating the Spot Covariation of Asset Prices – Statistical Theory...
papers.ssrn.com
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise an
PDM | ECB monetary policy surprises: identification through cojumps...
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Detail of document uploaded on Economic Analyses and Policies
ECB Monetary Policy Surprises: Identification through Cojumps in...
papers.ssrn.com
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojum
[ ] Cusum tests for changes in the Hurst exponent and...
arxiv.org
From: Markus Bibinger [view email] [v1] Tue, 9 Apr :20:33 UTC (353 KB) [v2] Mon, 3 Feb :44:56 UTC (327 KB). Full-text links: ...
Estimating the Quadratic Covariation Matrix from Noisy Observations:...
papers.ssrn.com
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and
[ ] Estimating the quadratic covariation matrix from noisy...
arxiv.org
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency. Authors:Markus Bibinger, Nikolaus Hautsch, Peter ...
[ ] Common price and volatility jumps in noisy high-frequency...
arxiv.org
From: Markus Bibinger [view email] [v1] Wed, 16 Jul :28:41 GMT (736kb,D) [v2] Sat, 26 Nov :41:10 GMT (720kb,D) [v3] Mon,
[ ] Functional stable limit theorems for quasi-efficient...
arxiv.org
Title:Functional stable limit theorems for quasi-efficient spectral covolatility estimators. Authors:Randolf Altmeyer, Markus Bibinger. (Submitted on 10 Jan
[ v1] Common price and volatility jumps in noisy...
arxiv.org
Submission history. From: Markus Bibinger [view email] [v1] Wed, 16 Jul :28:41 UTC (736 KB) [v2] Sat, 26 Nov :41:10 UTC (720 KB) [v3] Mon,
[ v3] Improved volatility estimation under one-sided errors...
arxiv.org
Authors:Markus Bibinger, Moritz Jirak, Markus Reiß. (Submitted on 16 Aug ( v1), revised 22 Jun (this version, v3), latest version 23 Nov (v4)).
[ v2] Improved volatility estimation based on limit order...
arxiv.org
Authors:Markus Bibinger, Moritz Jirak, Markus Reiß · Download PDF. Abstract: For a semi-martingale X_t, which forms a stochastic boundary, a rate-optimal ...
[ ] On central limit theorems for power variations of the...
arxiv.org
Authors:Markus Bibinger, Mathias Trabs. (Submitted on 4 Jan (v1), last revised 15 Mar (this version, v2)). Abstract: We consider the ...
[ ] Volatility estimation under one-sided errors with...
arxiv.org
Title:Volatility estimation under one-sided errors with applications to limit order books. Authors:Markus Bibinger, Moritz Jirak, Markus Reiß · Download PDF.
[ v2] Nonparametric change-point analysis of volatility
arxiv.org
From: Markus Bibinger [view email] [v1] Fri, 30 Jan :29:40 UTC (762 KB) [v2] Tue, 12 Jan :41:21 UTC (1,040 KB). Full-text links: ...
[ v1] Estimating the quadratic covariation matrix from noisy...
arxiv.org
Title:Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency. Authors:Markus Bibinger, Nikolaus Hautsch, ...
[ ] Spectral covolatility estimation from noisy observations...
arxiv.org
From: Markus Bibinger [view email] [v1] Mon, 5 Dec :33:27 GMT (477kb, D) [v2] Fri, 30 Dec :03:21 GMT (477kb,D) [v3] Thu,
[ ] Gumbel convergence of the maximum of convoluted...
arxiv.org
· Submission history. From: Markus Bibinger [view email] [v1] Fri, 26 Mar :26:45 UTC (175 KB). Full-text links: ...
Verwandte Suchanfragen zu Markus Bibinger
Mathias Trabs Tobias Linzert Christopher Neely | Nikolaus Hautsch Mathias Vetter Markus Pauly | Marie Curie Taras Bodnar Stefan Bibinger |
Personen Vorname "Markus" (61377) Name "Bibinger" (36) |
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