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Measuring the Realized Skewness in Noisy Semi-Martingale with Jumps Using High Frequency Data
45/45 checkable references clean · checked 2026-08-27
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The 45 checked references that resolve
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The leverage effect puzzle: Disentangling sources of bias at high frequency
resolves10.1093/rfs/hhi016
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
resolves10.2139/ssrn.1785736
Does Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
resolves10.1093/rfs/16.1.0101
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
resolves10.1007/978-3-540-30788-4_3
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
resolves10.2139/ssrn.620203
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise
resolves10.1016/j.jeconom.2010.07.009
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
resolves10.1093/jjfinec/nbi022
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
resolves10.1016/s0304-4076(01)00071-9
Tests of equal forecast accuracy and encompassing for nested models
resolves10.3386/w5976
Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance
resolves10.1093/jjfinec/nbr007
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility
resolves10.1111/j.1540-6261.2004.00666.x
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
resolves10.1093/rfs/hhm014
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
resolves10.1093/rfs/6.2.327
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
resolves10.1016/j.spa.2008.11.004
Microstructure noise in the continuous case: The pre-averaging approach
resolves10.2139/ssrn.2018641
Segregating Continuous Volatility from Jumps in Long-Run Risk-Return Trade-Offs
resolves10.1017/s0022109010000785
Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market
resolves10.1093/jjfinec/nbh006
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
resolves10.1016/j.jeconom.2010.03.023
Realized jumps on financial markets and predicting credit spreads
resolves10.1017/s0022109010000220
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?
resolves10.1016/j.jeconom.2010.07.002
Quasi-maximum likelihood estimation of volatility with high frequency data
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no DOI — not checkedOn stable sequences of events
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