Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261): Difference between revisions

@@ Property / author @@
-Roel C. A. Oomen
@@ Property / author: Roel C. A. Oomen / rank @@
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@@ Property / author @@
+Roel C. A. Oomen
@@ Property / author: Roel C. A. Oomen / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2010.03.015
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@@ Property / OpenAlex ID @@
+W3123021978
@@ Property / OpenAlex ID: W3123021978 / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
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+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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+Modeling tick-by-tick realized correlations
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+Zero-intelligence realized variance estimation.
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+Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
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+Covariance measurement in the presence of non-synchronous trading and market microstructure noise
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+Consistent estimation of covariation under nonsynchronicity
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+On covariance estimation of non-synchronously observed diffusion processes
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+Microstructure noise in the continuous case: the pre-averaging approach
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+High-dimensional covariance forecasting for short intra-day horizons
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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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+Estimating covariation: Epps effect, microstructure noise
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+A Tale of Two Time Scales
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@@ links / mardi / name / links / mardi / name @@
+Publication:737261