Pages that link to "Item:Q3502142"

The following pages link to Microstructure Noise, Realized Variance, and Optimal Sampling (Q3502142):

Displaying 50 items.

• MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
• Measuring volatility with the realized range (Q277164) (← links)
• Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
• Realized range-based estimation of integrated variance (Q289157) (← links)
• Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
• Consistent ranking of volatility models (Q292007) (← links)
• Risk, jumps, and diversification (Q292155) (← links)
• Realized volatility forecasting and option pricing (Q299252) (← links)
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
• Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
• A two-stage realized volatility approach to estimation of diffusion processes with discrete data (Q302180) (← links)
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
• Stationary bootstrapping realized volatility under market microstructure noise (Q364198) (← links)
• Stochastic volatility and stochastic leverage (Q470516) (← links)
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
• A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities (Q500498) (← links)
• On loss functions and ranking forecasting performances of multivariate volatility models (Q528161) (← links)
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
• Subsampling high frequency data (Q530605) (← links)
• Data-based ranking of realised volatility estimators (Q530606) (← links)
• Bias-corrected realized variance under dependent microstructure noise (Q543443) (← links)
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
• Integrated volatility and round-off error (Q605018) (← links)
• Bayesian analysis of structural credit risk models with microstructure noises (Q609830) (← links)
• Large deviations of realized volatility (Q665439) (← links)
• Sequential monitoring of portfolio betas (Q725685) (← links)
• Realised quantile-based estimation of the integrated variance (Q736690) (← links)
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
• Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263) (← links)
• High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
• Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273) (← links)
• Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
• Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
• Subsampling realised kernels (Q737277) (← links)
• Realized volatility forecasting and market microstructure noise (Q737278) (← links)
• Volatility forecasting and microstructure noise (Q737282) (← links)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
• Estimating stochastic volatility models using daily returns and realized volatility simultaneously (Q961439) (← links)
• Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
• High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (Q1023629) (← links)
• On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) (← links)
• Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
• Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
• The effect of infrequent trading on detecting price jumps (Q1633220) (← links)
• Estimation of financial agent-based models with simulated maximum likelihood (Q1655776) (← links)
• Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)