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Quantitative Finance Volume 15, 2015 - Issue 8: Special Issue on High Frequency Data Modeling in Finance
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Research Papers

Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Jozef BarunikInstitute of Economic Studies, Charles University, Opletalova 21, 110 00Prague, Czech Republic.;Institute of Information Theory and Automation, The Czech Academy of Sciences, Pod Vodarenskou Vezi 4, 182 00Prague, Czech Republic.Correspondence[email protected]
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Lukas VachaInstitute of Economic Studies, Charles University, Opletalova 21, 110 00Prague, Czech Republic.;Institute of Information Theory and Automation, The Czech Academy of Sciences, Pod Vodarenskou Vezi 4, 182 00Prague, Czech Republic.View further author information
Pages 1347-1364 | Received 07 Feb 2013, Accepted 16 Oct 2014, Published online: 11 May 2015

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Gonçalo Faria & Fabio Verona. (2021) Time-frequency forecast of the equity premium. Quantitative Finance 21:12, pages 2119-2135.
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Christian Brownlees, Eulalia Nualart & Yucheng Sun. (2020) On the estimation of integrated volatility in the presence of jumps and microstructure noise. Econometric Reviews 39:10, pages 991-1013.
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Articles from other publishers (16)

Kim C. Raath & Katherine B. Ensor. (2022) Wavelet-L2E Stochastic Volatility Models: an Application to the Water-Energy Nexus. Sankhya B 85:S1, pages 150-176.
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Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner)Shifan Yu. (2023) Nonparametric Range-Based Estimation of Integrated Variance with Episodic Extreme Return Persistence. SSRN Electronic Journal.
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Salem Hathroubi & Chaker Aloui. (2022) Oil price dynamics and fiscal policy cyclicality in Saudi Arabia: New evidence from partial and multiple wavelet coherences. The Quarterly Review of Economics and Finance 85, pages 149-160.
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Artur Semeyutin & Gareth Downing. (2022) Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors. International Review of Financial Analysis 81, pages 102078.
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Artur Semeyutin, Giray Gozgor, Chi Keung Marco Lau & Bing Xu. (2021) Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets. Energy Economics 104, pages 105660.
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Saranya Kshatriya & Krishna Prasanna. (2021) Jump Interdependencies: Stochastic linkages among international stock markets. The North American Journal of Economics and Finance 57, pages 101418.
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Chaker Aloui, Syed Jawad Hussain Shahzad, Besma Hkiri, Ben Hamida Hela & Muhammad Asif Khan. (2021) On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons. Pacific-Basin Finance Journal 65, pages 101491.
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Gonçalo Faria & Fabio Verona. (2020) The yield curve and the stock market: Mind the long run. Journal of Financial Markets 50, pages 100508.
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Weiyi Liu & Mingjin Wang. (2019) Volatility Estimation and Jump Testing via Realized Information Variation. Journal of Time Series Analysis 40:5, pages 753-787.
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Jozef Barunik & Lukas Vacha. (2018) Do co-jumps impact correlations in currency markets?. Journal of Financial Markets 37, pages 97-119.
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Lucie Kraicová & Jozef Baruník. (2017) Estimation of long memory in volatility using wavelets. Studies in Nonlinear Dynamics & Econometrics 21:3.
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Jozef Baruník & Tomáš Křehlík. (2016) Combining high frequency data with non-linear models for forecasting energy market volatility. Expert Systems with Applications 55, pages 222-242.
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Jozef Barunik, Tomas Krehlik & Lukas Vacha. (2016) Modeling and forecasting exchange rate volatility in time-frequency domain. European Journal of Operational Research 251:1, pages 329-340.
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Jozef Baruník & Michaela Hlínková. (2016) Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. Economic Modelling 54, pages 503-514.
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Christian T. Brownlees, Eulalia Nualart & Yucheng Sun. (2016) A Truncated Two-Scales Realized Volatility Estimator. SSRN Electronic Journal.
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Jozef Barunik & Lukas Vacha. (2016) Do Co-Jumps Impact Correlations in Currency Markets?. SSRN Electronic Journal.
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