Inference from the futures: ranking the noise cancelling accuracy of realized measures

Keywords

Futures contract, Estimator, Econometrics, Martingale (probability theory), Realized variance

References

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Cited by

• Long- and Short-Run Components of Factor Betas: Implications for Equity PricingHossein Asgharian, Charlotte Christiansen, Ai Jun Hou — 2021
• Cross-sectional noise reduction and more efficient estimation of Integrated VarianceGiorgio Mirone — 2018
• Flight to Safety from European Stock MarketsNektarios Aslanidis, Charlotte Christiansen — 2017
• Time-Varying Coefficient Estimation in SURE Models: Application to Portfolio ManagementIsabel Casas, Eva Ferreira, Susan Orbe — 2017

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• Dependent microstructure noise and integrated volatility estimation from high-frequency dataZ. Merrick Li, Roger J. A. Laeven, Michel Vellekoop — 2017
• A Least Squares Regression Realized Covariation EstimationIngmar Nolte, Michalis Vasios, Valeri Voev — 2017
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• A Multiscale Estimator for Pricing Errors in High-frequency Financial MarketsLouis R. Piccotti — 2019