Concepedia

Integrated Volatility Estimation

Integrated Volatility Estimation is a statistical methodology in high-frequency time series analysis that quantifies the total variation of a continuous-time stochastic process over a fixed interval by aggregating squared intraday returns, distinguished from alternative volatility measures by its theoretical consistency under microstructure noise and irregular sampling.

137

Publications

11.9K

Citations

166

Authors

161

Institutions

Publications per year

2017–2026

20

Parents

Publications

137

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2002 · 2.3K citations · Full text

, , +17

Microstructure Noise, Realized Variance, and Optimal Sampling

Federico M. Bandi, Jefirey R. Russell · The Review of Economic Studies · 2008 · 621 citations

, , +17

Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

Lan Zhang · Bernoulli · 2006 · 568 citations · Full text

, , +16

Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

Cecilia Mancini · Scandinavian Journal of Statistics · 2009 · 470 citations

, , +16

Ultra high frequency volatility estimation with dependent microstructure noise

Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang · Journal of Econometrics · 2010 · 374 citations

, , +17

1–5 of 137

Authors

166

  1. PA
    Per A. Mykland

    University of Chicago, United States

    9 publications · 835 citations

    9

    h-index

  2. MP
    Mark Podolskij

    Aarhus University, Denmark

    8 publications · 836 citations

    8

    h-index

  3. JF
    Jianqing Fan

    Princeton University, United States

    8 publications · 387 citations

    8

    h-index

  4. NM
    Nour Meddahi

    Toulouse School of Economics, France

    7 publications · 612 citations

    7

    h-index

  5. MV
    Mathias Vetter

    Ruhr University Bochum, Germany

    6 publications · 588 citations

    6

    h-index

1–5 of 166

Institutions

161

  1. University of Chicago

    Chicago, United States

    12 h-index

    15 publications

    2.3K citations

  2. Aarhus University

    Aarhus, Denmark

    11 h-index

    16 publications

    3.1K citations

  3. Princeton University

    Princeton, United States

    10 h-index

    13 publications

    938 citations

  4. University of Illinois Chicago

    Chicago, United States

    9 h-index

    10 publications

    1.5K citations

  5. Hong Kong University of Science and Technology

    Hong Kong, Hong Kong

    8 h-index

    12 publications

    540 citations

  6. Ruhr University Bochum

    Bochum, Germany

    8 h-index

    10 publications

    976 citations

  7. University of North Carolina at Chapel Hill

    Chapel Hill, United States

    7 h-index

    9 publications

    547 citations

  8. University of Hong Kong

    Pok Fu Lam, Hong Kong

    6 h-index

    11 publications

    313 citations

1–8 of 161

Venues

  1. SSRN Electronic Journal

    Repository · 21 publications · 765 citations

    15

    h-index

  2. Journal of Econometrics

    14 publications · 1.7K citations

    14

    h-index

  3. The Annals of Statistics

    7 publications · 482 citations

    7

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 7 publications · 137 citations

    7

    h-index

  5. Econometric Theory

    6 publications · 410 citations

    6

    h-index

1–5