{"id":"https://openalex.org/W2011151924","doi":"https://doi.org/10.1080/14697688.2012.664936","title":"Estimation of quarticity with high-frequency data","display_name":"Estimation of quarticity with high-frequency data","publication_year":2012,"publication_date":"2012-03-23","ids":{"openalex":"https://openalex.org/W2011151924","doi":"https://doi.org/10.1080/14697688.2012.664936","mag":"2011151924"},"language":"en","primary_location":{"id":"doi:10.1080/14697688.2012.664936","doi":"https://doi.org/10.1080/14697688.2012.664936","is_oa":false,"landing_page_url":"https://doi.org/10.1080/14697688.2012.664936","pdf_url":null,"source":{"id":"https://openalex.org/S182689569","display_name":"Quantitative Finance","issn_l":"1469-7688","issn":["1469-7688","1469-7696"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Quantitative Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://autopapers.ssrn.com/sol3/papers.cfm?abstract_id=2241009","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5075467364","display_name":"Maria Elvira Mancino","orcid":"https://orcid.org/0000-0001-9146-4107","observed_orcids":["https://orcid.org/0000-0001-9146-4107"]},"institutions":[{"id":"https://openalex.org/I45084792","display_name":"University of Florence","ror":"https://ror.org/04jr1s763","country_code":"IT","type":"education","lineage":["https://openalex.org/I45084792"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Maria Elvira Mancino","raw_affiliation_strings":["DiMaD, University of Firenze, Firenze, Italy","University of Florence - Department of Economics and Management"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"DiMaD, University of Firenze, Firenze, Italy","institution_ids":["https://openalex.org/I45084792"]},{"raw_affiliation_string":"University of Florence - Department of Economics and Management","institution_ids":["https://openalex.org/I45084792"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5076032501","display_name":"Simona Sanfelici","orcid":"https://orcid.org/0000-0002-2335-5619","observed_orcids":["https://orcid.org/0000-0002-2335-5619"]},"institutions":[{"id":"https://openalex.org/I124601658","display_name":"University of Parma","ror":"https://ror.org/02k7wn190","country_code":"IT","type":"education","lineage":["https://openalex.org/I124601658"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Simona Sanfelici","raw_affiliation_strings":["Department of Economics, University of Parma, Parma, Italy","University of Parma - Dipartimento di Economia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Parma, Parma, Italy","institution_ids":["https://openalex.org/I124601658"]},{"raw_affiliation_string":"University of Parma - Dipartimento di Economia","institution_ids":["https://openalex.org/I124601658"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5075467364"],"corresponding_institution_ids":["https://openalex.org/I45084792"],"apc_list":null,"apc_paid":null,"fwci":2.6588,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.91438647,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"12","issue":"4","first_page":"607","last_page":"622"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.6807000041007996,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.6807000041007996,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.3118000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0015999999595806003,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility-function","display_name":"volatility function","score":0.5870000123977661},{"id":"https://openalex.org/keywords/high-frequency-data","display_name":"high-frequency data","score":0.9160000085830688},{"id":"https://openalex.org/keywords/fourier-analysis","display_name":"Fourier analysis","score":0.7149999737739563},{"id":"https://openalex.org/keywords/market-microstructure-noise","display_name":"microstructure noise","score":0.8740000128746033},{"id":"https://openalex.org/keywords/estimator-consistency","display_name":"estimator consistency","score":0.8019999861717224},{"id":"https://openalex.org/keywords/estimator-efficiency","display_name":"estimator efficiency","score":0.7720000147819519},{"id":"https://openalex.org/keywords/multivariate-volatility","display_name":"multivariate volatility","score":0.949999988079071}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.8252983093261719},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7254117727279663},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6530560255050659},{"id":"https://openalex.org/C2776436953","wikidata":"https://www.wikidata.org/wiki/Q5163215","display_name":"Consistency (knowledge bases)","level":2,"score":0.49422743916511536},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.47737380862236023},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4557558596134186},{"id":"https://openalex.org/C102519508","wikidata":"https://www.wikidata.org/wiki/Q6520159","display_name":"Fourier transform","level":2,"score":0.42947399616241455},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.41887474060058594},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.38200074434280396},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.36138632893562317},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.34045884013175964},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.11531582474708557},{"id":"https://openalex.org/C118615104","wikidata":"https://www.wikidata.org/wiki/Q121416","display_name":"Discrete mathematics","level":1,"score":0.06485381722450256},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1080/14697688.2012.664936","doi":"https://doi.org/10.1080/14697688.2012.664936","is_oa":false,"landing_page_url":"https://doi.org/10.1080/14697688.2012.664936","pdf_url":null,"source":{"id":"https://openalex.org/S182689569","display_name":"Quantitative Finance","issn_l":"1469-7688","issn":["1469-7688","1469-7696"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Quantitative Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:flo:wpaper:2011-06","doi":null,"is_oa":false,"landing_page_url":"http://www.disei.unifi.it/upload/sub/pubblicazioni/repec/flo/workingpapers/storicodimad/2011/dimadwp2011-06.pdf","pdf_url":"http://www.disei.unifi.it/upload/sub/pubblicazioni/repec/flo/workingpapers/storicodimad/2011/dimadwp2011-06.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"mag:2011151924","doi":null,"is_oa":true,"landing_page_url":"https://autopapers.ssrn.com/sol3/papers.cfm?abstract_id=2241009","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"mag:3122539938","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/paper/flowpaper/2011-06.htm","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:taf:quantf:v:12:y:2012:i:4:p:607-622","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/14697688.2012.664936","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:flore.unifi.it:2158/647991","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/2158/647991","pdf_url":null,"source":{"id":"https://openalex.org/S4306402033","display_name":"Florence Research (University of Florence)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I45084792","host_organization_name":"University of Florence","host_organization_lineage":["https://openalex.org/I45084792"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:ricerca.sns.it:11384/79793","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/11384/79793","pdf_url":null,"source":{"id":"https://openalex.org/S7407050981","display_name":"Scuola Normale Superiore di Pisa","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"mag:2011151924","doi":null,"is_oa":true,"landing_page_url":"https://autopapers.ssrn.com/sol3/papers.cfm?abstract_id=2241009","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":39,"referenced_works":["https://openalex.org/W586361596","https://openalex.org/W1562415987","https://openalex.org/W1963787328","https://openalex.org/W1966795804","https://openalex.org/W1984849251","https://openalex.org/W1998856889","https://openalex.org/W2003413166","https://openalex.org/W2017412726","https://openalex.org/W2018240140","https://openalex.org/W2034397538","https://openalex.org/W2051235503","https://openalex.org/W2061820889","https://openalex.org/W2063887941","https://openalex.org/W2068138154","https://openalex.org/W2073583519","https://openalex.org/W2094859553","https://openalex.org/W2125071031","https://openalex.org/W2128569377","https://openalex.org/W2136215272","https://openalex.org/W2140585983","https://openalex.org/W2146419299","https://openalex.org/W2148432878","https://openalex.org/W2155804346","https://openalex.org/W2157296221","https://openalex.org/W2158120228","https://openalex.org/W2598648161","https://openalex.org/W2889627911","https://openalex.org/W3021444882","https://openalex.org/W3095114851","https://openalex.org/W3105143467","https://openalex.org/W3122281927","https://openalex.org/W3122403807","https://openalex.org/W3122553341","https://openalex.org/W3123095880","https://openalex.org/W3123266280","https://openalex.org/W3124016026","https://openalex.org/W3124514199","https://openalex.org/W3124974209","https://openalex.org/W4253166780"],"related_works":["https://openalex.org/W2074494295","https://openalex.org/W2956381952","https://openalex.org/W2597148217","https://openalex.org/W7163894917","https://openalex.org/W7098827258","https://openalex.org/W3125897543","https://openalex.org/W1973823353","https://openalex.org/W2594084243","https://openalex.org/W4243851629","https://openalex.org/W6964197493"],"abstract_inverted_index":{"We":[0,27],"propose":[1],"a":[2,22,52],"new":[3],"methodology":[4],"based":[5],"on":[6],"Fourier":[7],"analysis":[8],"to":[9,58,64],"estimate":[10],"the":[11,15,24,29,32,36,45,65],"fourth":[12],"power":[13],"of":[14,31,35,47,61],"volatility":[16,62],"function":[17],"(spot":[18],"quarticity)":[19],"and,":[20],"as":[21],"byproduct,":[23],"integrated":[25,37],"function.":[26],"prove":[28],"consistency":[30],"proposed":[33],"estimator":[34],"quarticity.":[38],"Further,":[39],"we":[40],"analyse":[41],"its":[42],"efficiency":[43],"in":[44],"presence":[46],"microstructure":[48],"noise,":[49],"from":[50],"both":[51],"theoretical":[53],"and":[54,63],"empirical":[55],"viewpoint.":[56],"Extensions":[57],"higher":[59],"powers":[60],"multivariate":[66],"case":[67],"are":[68],"also":[69],"discussed.":[70]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2024,"cited_by_count":3},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
