Pages that link to "Item:Q3653354"
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The following pages link to Realized kernels in practice: trades and quotes (Q3653354):
Displayed 50 items.
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) (← links)
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Testing for non-correlation between price and volatility jumps (Q515135) (← links)
- Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
- Subsampling high frequency data (Q530605) (← links)
- Data-based ranking of realised volatility estimators (Q530606) (← links)
- High-dimensional copula-based distributions with mixed frequency data (Q726592) (← links)
- Lévy copulae for financial returns (Q727660) (← links)
- High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange (Q829126) (← links)
- A tractable state-space model for symmetric positive-definite matrices (Q899053) (← links)
- Rejoinder: ``A tractable state-space model for symmetric positive-definite matrices'' (Q899055) (← links)
- Hellinger distance and non-informative priors (Q899064) (← links)
- Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Managing risk with a realized copula parameter (Q1659106) (← links)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
- Mixed-scale jump regressions with bootstrap inference (Q1676389) (← links)
- Detecting structural breaks in realized volatility (Q1727922) (← links)
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
- Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
- Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084) (← links)
- The long memory HEAVY process: modeling and forecasting financial volatility (Q2070693) (← links)
- New evidence on market response to public announcements in the presence of microstructure noise (Q2076860) (← links)
- The drift burst hypothesis (Q2116347) (← links)
- Equity clusters through the lens of realized semicorrelations (Q2126161) (← links)
- Variance risk: a bird's eye view (Q2182141) (← links)
- High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model (Q2246711) (← links)
- Estimating stochastic volatility: the rough side to equity returns (Q2292049) (← links)
- Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
- Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity (Q2301060) (← links)
- Large-scale portfolio allocation under transaction costs and model uncertainty (Q2323379) (← links)
- Specification and structural break tests for additive models with applications to realized variance data (Q2354863) (← links)
- Zero-intelligence realized variance estimation. (Q2430259) (← links)
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (Q2511805) (← links)
- A nonparametric test of a strong leverage hypothesis (Q2630356) (← links)
- Nonstationary autoregressive conditional duration models (Q2691715) (← links)
- Simple factor realized stochastic volatility models (Q2693373) (← links)
- Flexible HAR model for realized volatility (Q2697034) (← links)
- An Unbiased Measure of Integrated Volatility in the Frequency Domain (Q2789386) (← links)
- Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes (Q2922163) (← links)
- Volatility Estimation Based on High-Frequency Data (Q3112466) (← links)
- Volatility forecasting of strategically linked commodity ETFs: gold-silver (Q4554245) (← links)
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (Q4619496) (← links)
- Evolution of high-frequency systematic trading: a performance-driven gradient boosting model (Q4619504) (← links)