泻药，等等没邀我吗？没邀我也没关系，正好我有点烦，摸鱼写个回答
hawkes
hawkes我关注的比较多的是参数估计以及hawkes based order book，可能跟你想看的不一样，所以推荐以下论文你自己找感兴趣的内容：
Hawkes, Alan G. “Spectra of Some Self-Exciting and Mutually Exciting Point Processes"
Bacry, Emmanuel, Iacopo Mastromatteo, and Jean-Franois Muzy. “Hawkes Processes in Finance.” Market Microstructure and Liquidity 01, no. 01 (June 2015): 1550005. https://doi.org/10.1142/S2382626615500057.
Hawkes, Alan G. “Hawkes Jump-Diffusions and Finance: A Brief History and Review.” The European Journal of Finance, April 23, 2020, 1–15. https://doi.org/10.1080/1351847X.2020.1755712.
jump test
首先推荐Ait-sahalia和Jacod的High-Frequency Financial Econometrics那本书，然后推荐以下论文：
At-Sahalia, Yacine, and Jean Jacod. “Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data.” Journal of Economic Literature 50, no. 4 (December 1, 2012): 1007–50. https://doi.org/10.1257/jel.50.4.1007.
At-Sahalia, Yacine, and Jean Jacod. “Estimating the Degree of Activity of Jumps in High Frequency Data.” The Annals of Statistics 37, no. 5A (October 1, 2009). https://doi.org/10.1214/08-AOS640.
At-Sahalia, Yacine, and Jean Jacod. “Is Brownian Motion Necessary to Model High-Frequency Data?” The Annals of Statistics 38, no. 5 (October 1, 2010). https://doi.org/10.1214/09-AOS749.
At-Sahalia, Yacine, and Jean Jacod. “Testing for Jumps in a Discretely Observed Process.” The Annals of Statistics 37, no. 1 (February 1, 2009). https://doi.org/10.1214/07-AOS568.
At-Sahalia, Yacine, and Jean Jacod. “Testing Whether Jumps Have Finite or Infinite Activity.” The Annals of Statistics 39, no. 3 (June 1, 2011). https://doi.org/10.1214/11-AOS873.
Barndorff-Nielsen, O. E. “Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.” Journal of Financial Econometrics 4, no. 1 (August 19, 2005): 1–30. https://doi.org/10.1093/jjfinec/nbi022.
Christensen, Kim, Roel Oomen, and Roberto Renò. “The Drift Burst Hypothesis.” Journal of Econometrics 227, no. 2 (April 2022): 461–97. https://doi.org/10.1016/j.jeconom.2020.11.004.
Lee, Suzanne S., and Per A. Mykland. “Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics.” Review of Financial Studies 21, no. 6 (November 2008): 2535–63. https://doi.org/10.1093/rfs/hhm056.
(jump- or noise-robust)volatility measure
虽然你问的是volatility，但结合你前两个问题可以看出你明显是要问realized vol和integrated vol相关的内容。那么，首先同样是推荐High-Frequency Financial Econometrics那本书，然后推荐以下论文:
At-Sahalia, Yacine, Per A. Mykland, and Lan Zhang. “Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise.” Journal of Econometrics 160, no. 1 (January 2011): 160–75. https://doi.org/10.1016/j.jeconom.2010.03.028.
Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Paul Labys. “Modeling and Forecasting Realized Volatility.” Econometrica 71, no. 2 (March 2003): 579–625. https://doi.org/10.1111/1468-0262.00418.
Andersen, Torben G., Yingying Li, Viktor Todorov, and Bo Zhou. “Volatility Measurement with Pockets of Extreme Return Persistence.” Journal of Econometrics, February 2021, S0304407620303924. https://doi.org/10.1016/j.jeconom.2020.11.005.
Barndorff-Nielsen, O. E., and Neil Shephard. “Power and Bipower Variation with Stochastic Volatility and Jumps.” Journal of Financial Econometrics 2, no. 1 (December 1, 2004): 1–37. https://doi.org/10.1093/jjfinec/nbh001.
Barndorff-Nielsen, Ole E., Peter R Hansen, Asger Lunde, and Neil Shephard. “Designing Realized Kernels to Measure the Ex Post Variation of Equity Prices in the Presence of Noise.” Econometrica 76, no. 6 (2008): 1481–1536. https://doi.org/10.3982/ECTA6495.
Barndorff-Nielsen, Ole E., and Neil Shephard. “Estimating Quadratic Variation Using Realized Variance.” Journal of Applied Econometrics 17, no. 5 (September 2002): 457–77. https://doi.org/10.1002/jae.691.
Da, Rui, and Dacheng Xiu. “When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility.” Econometrica 89, no. 6 (2021): 2787–2825. https://doi.org/10.3982/ECTA15593.
Jacod, Jean, Yingying Li, Per A. Mykland, Mark Podolskij, and Mathias Vetter. “Microstructure Noise in the Continuous Case: The Pre-Averaging Approach.” Stochastic Processes and Their Applications 119, no. 7 (July 2009): 2249–76. https://doi.org/10.1016/j.spa.2008.11.004.
Jacod, Jean, Yingying Li, and Xinghua Zheng. “Estimating the Integrated Volatility with Tick Observations.” Journal of Econometrics 208, no. 1 (January 2019): 80–100. https://doi.org/10.1016/j.jeconom.2018.09.006.
Jacod, Jean, and Viktor Todorov. “Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps.” The Annals of Statistics 42, no. 3 (June 1, 2014). https://doi.org/10.1214/14-AOS1213.
其实这个回答约等于废话，都是你乎人均应读尽读的厕所读物。就这样 |
转播
