Information loss in volatility measurement with flat price trading
Bibliographic Data
| ID | 21542284 |
|---|---|
| Authors | Peter C B Phillips (0000-0003-2341-0451, University of Auckland, corresponding author), Jun Yu (0000-0003-1922-7283, Singapore Management University) |
| Year | 2023 |
| Volume | 64 |
| Issue | 6 |
| Pages | 2957-2999 |
| Publication date | 2023-06-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-022-02353-y |
| OpenAlex | W1488911756 |
| Language | EN |
| Citations received | 3 |
| References cited | 43 |
Econometrics · Economics · Implied volatility · Market liquidity · Market microstructure · Semimartingale · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Stochastic processes and financial applications · Applied Mathematics
Modeling and Forecasting Realized Volatility
Staggered prices in a utility-maximizing framework
Sticky Information versus Sticky Prices
Information loss in volatility measurement with flat price trading
Properties of Realized Variance Under Alternative Sampling Schemes
High-Frequency Data and Volatility in Foreign-Exchange Rates
Realized Variance and Market Microstructure Noise
| Citations per year | 1 |
|---|---|
| Citation span | 2023 - 2024 (2) |
| Highly cited | No |