Estimating covariation: Epps effect, microstructure noise (Q737259): Difference between revisions

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+Ultra high frequency volatility estimation with dependent microstructure noise
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+Probability approximations via the Poisson clumping heuristic
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+A log log law for maximal uniform spacings
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+Covariance measurement in the presence of non-synchronous trading and market microstructure noise
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+Microstructure noise in the continuous case: the pre-averaging approach
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+An econometric analysis of nonsynchronous trading
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+ANOVA for diffusions and Itō processes
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+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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+Edgeworth expansions for realized volatility and related estimators
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