Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805): Difference between revisions

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@@ Property / publication date @@
+September 2016Timestamp +2016-09-06T00:00:00Z
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++2016-09-06T00:00:00Z
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@@ Property / publication date: 6 September 2016 / rank @@
+Normal rank
@@ Property / author @@
+Donggyu Kim
@@ Property / author: Donggyu Kim / rank @@
+Normal rank
@@ Property / author @@
+Yazhen Wang
@@ Property / author: Yazhen Wang / rank @@
+Normal rank
@@ Property / title @@
+Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (English)
+Normal rank
@@ Property / zbMATH Open document ID @@
+.62357
@@ Property / zbMATH Open document ID: 1443.62357 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+F12
@@ Property / Mathematics Subject Classification ID: 62F12 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6623653
@@ Property / zbMATH DE Number: 6623653 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+GARCH
@@ Property / zbMATH Keywords: GARCH / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Itô process
@@ Property / zbMATH Keywords: Itô process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quasi-maximum likelihood estimator
@@ Property / zbMATH Keywords: quasi-maximum likelihood estimator / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+realized volatility
@@ Property / zbMATH Keywords: realized volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic differential equation
@@ Property / zbMATH Keywords: stochastic differential equation / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2016.05.003
+Normal rank
@@ Property / OpenAlex ID @@
+W2398294697
@@ Property / OpenAlex ID: W2398294697 / rank @@
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@@ 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 @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
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+CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
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+A multiple indicators model for volatility using intra-daily data
+Normal rank
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+Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
+Normal rank
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+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
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+Option Pricing in ARCH-type Models
@@ Property / cites work: Option Pricing in ARCH-type Models / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches
+Normal rank
@@ Property / cites work @@
+Asymptotic nonequivalence of GARCH models and diffusions
+Normal rank
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+Quasi-maximum likelihood estimation of volatility with high frequency data
+Normal rank
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+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:134805

Revision as of 13:30, 12 July 2024

scientific article

Language	Label	Description	Also known as
English	Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data	scientific article