Pages that link to "Item:Q1018630"
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The following pages link to High frequency market microstructure noise estimates and liquidity measures (Q1018630):
Displaying 23 items.
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- Volatility forecasting and microstructure noise (Q737282) (← links)
- High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394) (← links)
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency (Q2079627) (← links)
- Directed acyclic graph based information shares for price discovery (Q2152334) (← links)
- Theoretical and empirical analysis of trading activity (Q2189447) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
- Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data (Q2446249) (← links)
- Faster Convergence to the Estimation of Quadratic Variation with Microstructure Noise (Q2792279) (← links)
- A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
- Evolution of high-frequency systematic trading: a performance-driven gradient boosting model (Q4619504) (← links)
- Estimating structural credit risk models when market prices are contaminated with noise (Q4628717) (← links)
- Online Smoothing for Diffusion Processes Observed with Noise (Q5057271) (← links)
- UNIT ROOT TEST WITH HIGH-FREQUENCY DATA (Q5065460) (← links)
- Volatility estimation from short time series of stock prices (Q5419471) (← links)
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
