Model checks for the volatility under microstructure noise (Q1932237): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(6 intermediate revisions by 5 users not shown)
Property / author
 
Property / author: Dette, Holger / rank
Normal rank
 
Property / author
 
Property / author: Dette, Holger / rank
 
Normal rank
Property / describes a project that uses
 
Property / describes a project that uses: nlmdl / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1211.5507 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3235904 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quantile-preserving spread / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Specification Tests for the Variance of a Diffusion / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3750826 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusions with measurement errors. II. Optimal estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3374309 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic properties of realized power variations and related functionals of semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Microstructure noise in the continuous case: the pre-averaging approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bipower-type estimation in a noisy diffusion setting / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4226355 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996907 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Technical Note—An Inequality for the Variance of Waiting Time under a General Queuing Discipline / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 02:13, 6 July 2024

scientific article
Language Label Description Also known as
English
Model checks for the volatility under microstructure noise
scientific article

    Statements

    Model checks for the volatility under microstructure noise (English)
    0 references
    0 references
    0 references
    0 references
    17 January 2013
    0 references
    goodness-of-fit test
    0 references
    heteroscedasticity
    0 references
    microstructure noise
    0 references
    parametric bootstrap
    0 references
    stable convergence
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references