Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976): Difference between revisions

@@ Property / OpenAlex ID @@
+W2241098751
@@ Property / OpenAlex ID: W2241098751 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.2272
@@ Property / arXiv ID: 1401.2272 / rank @@
+Normal rank
@@ Property / cites work @@
+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
+Normal rank
@@ Property / cites work @@
+Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data
+Normal rank
@@ Property / cites work @@
+Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
+Normal rank
@@ Property / cites work @@
+Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
+Normal rank
@@ Property / cites work @@
+On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
+Normal rank
@@ Property / cites work @@
+An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
+Normal rank
@@ Property / cites work @@
+Discrete sine transform for multi-scale realized volatility measures
+Normal rank
@@ Property / cites work @@
+Central limit theorem for the realized volatility based on tick time sampling
+Normal rank
@@ Property / cites work @@
+Diffusions with measurement errors. I. Local Asymptotic Normality
+Normal rank
@@ Property / cites work @@
+Nonsynchronous covariation process and limit theorems
+Normal rank
@@ Property / cites work @@
+Q4349243
@@ Property / cites work: Q4349243 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating functions for diffusion-type processes
@@ Property / cites work: Estimating functions for diffusion-type processes / rank @@
+Normal rank
@@ Property / cites work @@
+Bipower-type estimation in a noisy diffusion setting
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
+Normal rank
@@ Property / cites work @@
+Limit theorems for moving averages of discretized processes plus noise
+Normal rank
@@ Property / cites work @@
+REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
+Normal rank
@@ Property / cites work @@
+Asymptotic equivalence for inference on the volatility from noisy observations
+Normal rank
@@ Property / cites work @@
+EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES
+Normal rank
@@ Property / cites work @@
+Quasi-maximum likelihood estimation of volatility with high frequency data
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank