The following pages link to (Q5495335):
Displayed 50 items.
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) (← links)
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient (Q783274) (← links)
- A universal approach to estimate the conditional variance in semimartingale limit theorems (Q825055) (← links)
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes (Q1615907) (← links)
- Effects of jumps and small noise in high-frequency financial econometrics (Q1627808) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Semimartingale: Itô or not ? (Q1683817) (← links)
- `Purposely misspecified' posterior inference on the volatility of a jump diffusion process (Q1698256) (← links)
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process (Q1730944) (← links)
- Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
- Testing for simultaneous jumps in case of asynchronous observations (Q1750093) (← links)
- Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale (Q1754515) (← links)
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps (Q1800948) (← links)
- Laws of large numbers for Hayashi-Yoshida-type functionals (Q1999591) (← links)
- The self-financing equation in limit order book markets (Q1999602) (← links)
- A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858) (← links)
- A rank test for the number of factors with high-frequency data (Q2000871) (← links)
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling (Q2013324) (← links)
- Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
- Continuous record Laplace-based inference about the break date in structural change models (Q2043251) (← links)
- Volatility coupling (Q2054472) (← links)
- A weak law of large numbers for realised covariation in a Hilbert space setting (Q2074990) (← links)
- A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise (Q2103295) (← links)
- The LAN property for McKean-Vlasov models in a mean-field regime (Q2105067) (← links)
- Occupation density estimation for noisy high-frequency data (Q2116333) (← links)
- Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions (Q2128080) (← links)
- Optimal estimation of the supremum and occupation times of a self-similar Lévy process (Q2136630) (← links)
- Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
- Testing the eigenvalue structure of spot and integrated covariance (Q2155301) (← links)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
- Asymptotic normality of convoluted smoothed kernel estimation for scalar diffusion model (Q2176391) (← links)
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests (Q2182138) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- Optimal kernel estimation of spot volatility of stochastic differential equations (Q2186644) (← links)
- Estimation of state-dependent jump activity and drift for Markovian semimartingales (Q2189127) (← links)
- High frequency traders and the price process (Q2190209) (← links)
- Statistical inferences for price staleness (Q2190239) (← links)
- Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem (Q2194053) (← links)