用 R 算高频数据的日波动率 可以用 package “ highfrequency ”，这里给出的是matlab code。

说明：高频数据的波动率code 这个文件夹对应的是Analyzing the Spectrum of Asset Returns:Jump and Volatility Components in High Frequency Data(2012)这篇文章的code.另外一个code对应的是另几篇文章，见作者官网。

下面附上作者网站上的其他文章的链接和他们的code:

作者网站：https://www.princeton.edu/~yacine/research

•        Estimation of the Continuous and Discontinuous Leverage Effects, with Jianqing Fan, Roger J.A. Laeven, Christina Dan Wang and Xiye Yang, forthcoming in the Journal of the American Statistical Association.

Download Paper

•        Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?, with Dacheng Xiu, Journal of Econometrics, 2016, 194, 205-219.

Download Article

•        Bandwidth Selection and Asymptotic Properties of Local Nonparametric Estimators in Possibly Nonstationary Continuous-Time Models, with Joon Y. Park, Journal of Econometrics, 2016, 192, 119-138.

Download Article

•        Portfolio Choice in Markets with Contagion, with Tom Hurd, Journal of Financial Econometrics, 2016, 14, 1-28.

Download Article

•        Modeling Financial Contagion Using Mutually Exciting Jump Processes, with Julio Cacho-Diaz and Roger J.A. Laeven, Journal of Financial Economics, 2015, 117, 585-606.

Download Article

•        Market-Based Estimation of Stochastic Volatility Models, with Dante Amengual and Elena Manresa, Journal of Econometrics, 2015, 187, 418-435.

Download Article

Download Supplemental Material

•        Mutual Excitation in Eurozone Sovereign CDS, with Roger J.A. Laeven and Loriana Pelizzon, Journal of Econometrics, 2014, 183, 151-167.

Download Article

•        The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency, with Jianqing Fan and Yingying Li, Journal of Financial Economics, 2013, 109, 224-249.

Download Article

•        Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data, with Jean Jacod, Journal of Economic Literature, 2012, 50, 1007-1050.

Download Article

Download Slides

Download Matlab Code and Sample Data Files

•        Identifying the Successive Blumenthal-Getoor Indices of a Discretely Observed Process, with Jean Jacod, Annals of Statistics, 2012, 40, 1430-1464.

Download Article

•        Testing for Jumps in Noisy High Frequency Data, with Jean Jacod and Jia Li, Journal of Econometrics, 2012, 168, 207-222.

Download Article

•        How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis, with Jochen Andritzky, Andreas Jobst, Sylwia Nowak and Natalia Tamirisa, Journal of International Economics, 2012, 87, 162-177.

Download Article

•        Stationarity-Based Specification Tests for Diffusions When the Process is Nonstationary, with Joon Park, Journal of Econometrics, 2012, 169, 279-292.

Download Article

•        Testing Whether Jumps Have Finite or Infinite Activity, with Jean Jacod, Annals of Statistics, 2011, 39, 1689-1719.

Download Article

Download Supplemental Material

•        Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise, with Per Mykland and Lan Zhang, Journal of Econometrics, 2011, 160, 160-175.

Download Article

•        Edgeworth Expansions for Realized Volatility and Related Estimators, with Lan Zhang and Per Mykland, Journal of Econometrics, 2011, 160, 190-203.

Download Article

•        High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data, with Jianqing Fan and Dacheng Xiu, Journal of the American Statistical Association,2010, 105, 1504–1517.

Download Article

•        Nonparametric Tests of the Markov Hypothesis in Continuous-Time Models, with Jianqing Fan and Jiancheng Jiang, Annals of Statistics, 2010, 38, 3129-3163.

Download Article

•        Is Brownian Motion Necessary to Model High Frequency Data?, with Jean Jacod, Annals of Statistics, 2010, 38, 3093-3128.

Download Article

•        Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions, with Robert Kimmel, Journal of Financial Economics, 2010, 98, 113–144.

Download Article  / Download Supplementary Appendix

•        Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities, Annual Review of Financial Economics, 2009, 1, 341-359.

Download Article

•        Nonparametric Transition-Based Tests for Jump-Diffusions, with Jianqing Fan and Heng Peng, Journal of the American Statistical Association, 2009, 104, 1102-1116.

Download Article

•        Estimating the Degree of Activity of Jumps in High Frequency Data, with Jean Jacod, Annals of Statistics, 2009, 37, 2202-2244.

Download Article

•        Portfolio Choice with Jumps: A Closed Form Solution, with Julio Cacho-Diaz and Tom Hurd, Annals of Applied Probability, 2009, 19, 556–584.

Download Article

•        Operator Methods for Continuous-Time Markov Processes, with Lars P. Hansen and Jose A. Scheinkman, in Handbook of Financial Econometrics, edited by Y. Ait-Sahalia and L.P. Hansen, 2009, North Holland.

Download Chapter

•        Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations, with Per Mykland, in Handbook of Financial Time Series, edited by Thomas Mikosch et al., 2009, Springer-Verlag.

Download Chapter

•        High Frequency Market Microstructure Noise Estimates and Liquidity Measures, with Jialin Yu, Annals of Applied Statistics, 2009, 3, 422-457.

Download Article

•        Testing for Jumps in a Discretely Observed Process, with Jean Jacod, Annals of Statistics, 2009, 37, 184-222.

Download Article

•        Out of Sample Forecasts of Quadratic Variation, with Loriano Mancini, Journal of Econometrics, 2008, 147, 17-33.

Download Article / Download Supplementary Appendix

•        Fisher's Information for Discretely Sampled Levy Processes, with Jean Jacod, Econometrica, 2008, 76, 727-761.

Download Article

•        An Analysis of Hansen-Scheinkman Moment Estimators for Discretely and Randomly Sampled Diffusions, with Per Mykland, Journal of Econometrics, 2008, 144, 1-26.

Download Article

•        Closed-Form Likelihood Expansions for Multivariate Diffusions, Annals of Statistics, 2008, 36, 906-937.

Download Article

Matlab Code to estimate a diffusion using closed-form maximum-likelihood

•        Volatility Estimators for Discretely Sampled Levy Processes, with Jean Jacod, Annals of Statistics, 2007, 35, 355-392.

Download Article

•        Estimating Continuous-Time Models Using Discretely Sampled Data, Econometric Society World Congress Invited Lecture, in Advances in Economics and Econometrics, Theory and Applications, Ninth World Congress, edited by Richard Blundell, Persson Torsten and Whitney K. Newey, Econometric Society Monographs, Cambridge University Press, 2007.

Download Article

•        Maximum Likelihood Estimation of Stochastic Volatility Models, with Robert Kimmel, Journal of Financial Economics, 2007, 83, 413-452.

Download Article

•        Saddlepoint Approximations for Continuous-Time Markov Processes, with Jialin Yu, Journal of Econometrics, 2006, 134, 507-551.

Download Article

•        Likelihood Inference for Diffusions: A Survey, in Frontiers in Statistics: in Honor of Peter J. Bickel's 65th Birthday, edited by Jianqing Fan and Hira L. Koul, Imperial College Press, 2006.

Download Article

•        A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data, with Lan Zhang and Per Mykland, Journal of the American Statistical Association, 2005, 100, 1394-1411.

Download Article

•        How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise, with Per Mykland and Lan Zhang, Review of Financial Studies, 2005, 18, 351-416.

Download Article

•        Estimating Diffusions with Discretely and Possibly Randomly Spaced Data: A General Theory, with Per Mykland, Annals of Statistics, 2004, 32, 2186-2222.

Download Article

•        Luxury Goods and the Equity Premium, with Jonathan Parker and Motohiro Yogo, Journal of Finance, 2004, 59, 2959-3004.

Download Article

•        Disentangling Diffusion from Jumps,  Journal of Financial Economics, 2004, 74, 487-528.

Download Article

•        Nonparametric Option Pricing under Shape Restrictions, with Jefferson Duarte, Journal of Econometrics, 2003, 116, 9-47

Download Article

•        The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions, with Per Mykland, Econometrica, 2003, 71, 483-549

Download Article

•        Telling From Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion, Journal of Finance, 2002, 57, 2075-2112

Download Article

•        Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach, Econometrica, 2002, 70, 223-262 (this paper received the 1998 Cornerstone Research Award)

Download Article

Matlab Code to estimate a diffusion using closed-form maximum-likelihood

•        Goodness-of-Fit Tests for Regression Using Kernel Methods, with Peter J. Bickel and Thomas M. Stoker, Journal of Econometrics, 2001, 105, 363-412

Download Article

•        Do Options Markets Correctly Price the Probabilities of Movement of the Underlying Asset?, with Yubo Wang and Francis Yared, Journal of Econometrics, 2001, 102, 67-110 (this paper received the 2003 Dennis J. Aigner Award for the best paper in applied econometrics published in the Journal of Econometrics in 2001 and 2002)

Download Article

•        Variable Selection for Portfolio Choice, with Michael Brandt, Journal of Finance, 2001, 56, 1297-1351 (this paper received the 2001 FAME Annual Research Prize)

Download Article

•        Nonparametric Risk Management and Implied Risk Aversion, with Andrew Lo, Journal of Econometrics, 2000, 94, 9-51

Download Article

•        Transition Densities for Interest Rate and Other Nonlinear Diffusions, Journal of Finance, 1999, 54, 1361-1395

Download Article

•         Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices, with Andrew Lo, Journal of Finance, 1998, 53, 499-547

Download Article

•        Dynamic Equilibrium and Volatility in Financial Asset Markets, Journal of Econometrics, 1998, 84, 93-128

Download Article

•        Testing Continuous-Time Models of the Spot Interest Rate, Review of Financial Studies, 1996, 9, 385-426 (this paper received the Michael J. Brennan Award for the best paper published in the Review of Financial Studies in 1996)

Download Article

•        Nonparametric Pricing of Interest Rate Derivative Securities, Econometrica, 1996, 64, 527-560

Download Article