392
Views
0
CrossRef citations to date
0
Altmetric
Articles

On Bivariate Time-Varying Price Staleness

ORCID Icon &

References

  • Andersen, T. G., Benzoni, L., and Lund, J. (2002), “An Empirical Investigation of Continuous-Time Equity Return Models,” The Journal of Finance, 57, 1239–1284. DOI: 10.1111/1540-6261.00460.
  • Bandi, F. M., Kolokolov, A., Pirino, D., and Reno, R. (2020a), “Discontinuous Trading in Continuous-Time Econometrics,” working paper.
  • Bandi, F. M., Kolokolov, A., Pirino, D., and Reno, R. (2020b), “Zeros,” Management Science, 66, 3466–3479.
  • Bandi, F. M., Pirino, D., and Reno, R. (2017), “Excess Idle Time,” Econometrica, 85, 1793–1846. DOI: 10.3982/ECTA13595.
  • Bandi, F. M., Pirino, D., and Reno, R. (2020), “Systematic Staleness,” available at SSRN: https://ssrn.com/abstract=3208204.
  • Bauwens, L., Hafner, C., and Laurent, S. (2012), Handbooks of Volatility Models and Their Applications, Hoboken, NJ: Wiley.
  • Buccheri, G., Livieri, G., Pirino, D., and Pollastri, A. (2020), “A Closed-Form Formula Characterization of the Epps Effect,” Quantitative Finance, 20, 243–254. DOI: 10.1080/14697688.2019.1659992.
  • Buccheri, G., Pirino, D., and Trapin, L. (2020), “Managing Liquidity with Portfolio Staleness,” Decisions in Economics and Finance, 44, 1–25. DOI: 10.1007/s10203-020-00300-z.
  • Chen, Y., Ferson, W., and Peters, H. (2010), “Measuring the Timing Ability and Performance of Bond Mutual Funds,” Journal of Financial Economics, 98, 72–89. DOI: 10.1016/j.jfineco.2010.05.009.
  • Christensen, K., Hounyo, U., and Podolskij, M. (2018), “Is the Diurnal Pattern Sufficient to Explain Intraday Variation in Volatility? A Nonparametric Assessment,” Journal of Econometrics, 205, 336–362. DOI: 10.1016/j.jeconom.2018.03.016.
  • Corsi, F. (2009), “A Simple Approximate Long-Memory Model of Realized Volatility,” Journal of Financial Econometrics, 7, 174–196. DOI: 10.1093/jjfinec/nbp001.
  • Jacod, J. (2019), “Estimation of Volatility in a High-Frequency Setting: A Short Review,” Decisions in Economics and Finance, 42, 351–385. DOI: 10.1007/s10203-019-00253-y.
  • Jacod, J., and Rosenbaum, M. (2013), “Quarticity and Other Functionals of Volatilty: Efficient Estimation,” Annals of Statistics, 41, 1462–1484.
  • Karmakar, M., and Paul, S. (2019), “Intraday Portfolio Risk Management using VaR and CVaR: A CGARCH-EVT-Copula Approach,” International Journal of Forecasting, 35, 699–709. DOI: 10.1016/j.ijforecast.2018.01.010.
  • Kolokolov, A., Livieri, G., and Pirino, D. (2020), “Statistical Inference for Price Staleness,” Journal of Econometrics, 218, 32–81. DOI: 10.1016/j.jeconom.2020.01.021.
  • Kömm, H., and Küsters, U. (2015), “Forecasting Zero-Inflated Price Changes with a Markov Switching Mixture Model for Autoregressive and Heteroscedastic Time Series,” International Journal of Forecasting, 31, 598–608. DOI: 10.1016/j.ijforecast.2014.10.008.
  • Oh, D. H., and Patton, A. J. (2016), “High-Dimensional Copula-based Distributions with Mixed Frequency Data,” Journal of Econometrics, 193, 349–366. DOI: 10.1016/j.jeconom.2016.04.011.
  • Phillips, P. C. B., and Yu, J. (2007), “Information Loss in Volatility Measurement with Flat Price Trading,” Available at SSRN https://ssrn.com/abstract=954571.
  • Pirino, D., Pollastri, A., and Trapin, L. (in press), “Testing Liquidity: A Statistical Theory based on Asset Staleness,” Econometrics and Statistics.
  • Qian, M. (2011), “Stale Price and Performance Evaluation of Mutual Funds,” Journal of Financial and Quantitative Analysis, 46, 369–394. DOI: 10.1017/S0022109010000773.
  • Rydberg, T., and Shephard, N. (2003), “Dynamics of Trade-by-Trade Price Movements: Decomposition and Model,” Journal of Financial Econometrics, 1, 2–25. DOI: 10.1093/jjfinec/nbg002.
  • Sucarrat, G., and Grønneberg, S. (2022), “Risk Estimation with a Time-Varying Probability of Zero Returns,” Journal of Finanical Econometrics, 20, 278–309. DOI: 10.1093/jjfinec/nbaa014.
  • Todorov, V. (2017), “Testing for Time-Varying Jump Activity for Pure Jump Semimartingales,” Annals of Statistics, 45, 1284–1311.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.