Ultra high frequency volatility estimation with dependent microstructure noise (Q737274): Difference between revisions

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-Per Aslak Mykland
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+Per Aslak Mykland
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+MaRDI publication profile
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+W3124218550
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@@ Property / cites work @@
+The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
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+The Distribution of Realized Exchange Rate Volatility
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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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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Discrete sine transform for multi-scale realized volatility measures
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+A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
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+Diffusions with measurement errors. I. Local Asymptotic Normality
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+Bootstrapping Realized Volatility
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+Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
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+Q3911791
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+Q4896006
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+Microstructure noise in the continuous case: the pre-averaging approach
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+Asymptotic error distributions for the Euler method for stochastic differential equations
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+Are volatility estimators robust with respect to modeling assumptions?
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+ANOVA for diffusions and Itō processes
@@ Property / cites work: ANOVA for diffusions and Itō processes / rank @@
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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
@@ Property / cites work: A Tale of Two Time Scales / rank @@
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+Edgeworth expansions for realized volatility and related estimators
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+Publication:737274