ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522): Difference between revisions

@@ Property / cites work @@
+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
+Normal rank
@@ Property / cites work @@
+Estimating the degree of activity of jumps in high frequency data
+Normal rank
@@ Property / cites work @@
+The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
+Normal rank
@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
+Normal rank
@@ Property / cites work @@
+Estimators of diffusions with randomly spaced discrete observations: a general theory
+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 @@
+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
+Normal rank
@@ Property / cites work @@
+Power Variation and Time Change
@@ Property / cites work: Power Variation and Time Change / rank @@
+Normal rank
@@ Property / cites work @@
+Irregular sampling and central limit theorems for power variations: the continuous case
+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 @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Limit theorems for moving averages of discretized processes plus noise
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+On the jump activity index for semimartingales
@@ Property / cites work: On the jump activity index for semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+Brownian Motion
@@ Property / cites work: Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+Inference for Continuous Semimartingales Observed at High Frequency
+Normal rank
@@ Property / cites work @@
+ANOVA for diffusions and Itō processes
@@ Property / cites work: ANOVA for diffusions and Itō processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4913195
@@ Property / cites work: Q4913195 / rank @@
+Normal rank
@@ Property / cites work @@
+Bipower-type estimation in a noisy diffusion setting
+Normal rank
@@ Property / cites work @@
+Q5515900
@@ Property / cites work: Q5515900 / rank @@
+Normal rank
@@ Property / cites work @@
+Jumps and betas: a new framework for disentangling and estimating systematic risks
+Normal rank
@@ Property / cites work @@
+Activity signature functions for high-frequency data analysis
+Normal rank
@@ Property / cites work @@
+Analysis of Financial Time Series
@@ Property / cites work: Analysis of Financial Time Series / rank @@
+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 @@
+Estimating covariation: Epps effect, microstructure noise
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank