Estimating the integrated volatility with tick observations (Q1739633): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2018.09.006
+Normal rank
@@ Property / OpenAlex ID @@
+W3122291666
@@ Property / OpenAlex ID: W3122291666 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for jumps in noisy high frequency data
@@ Property / cites work: Testing for jumps in noisy high frequency data / rank @@
+Normal rank
@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
+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 @@
+On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Statistical Properties of Microstructure Noise
@@ Property / cites work: Statistical Properties of Microstructure Noise / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
+Normal rank
@@ Property / cites work @@
+REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
+Normal rank
@@ Property / cites work @@
+Efficient estimation of integrated volatility incorporating trading information
+Normal rank
@@ Property / cites work @@
+A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
+Normal rank
@@ Property / cites work @@
+Volatility inference in the presence of both endogenous time and microstructure noise
+Normal rank
@@ Property / cites work @@
+Q4779802
@@ Property / cites work: Q4779802 / rank @@
+Normal rank
@@ Property / cites work @@
+On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
+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 @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ Property / cites work @@
+On the estimation of integrated covariance matrices of high dimensional diffusion processes
+Normal rank
@@ Property / Wikidata QID @@
+Q129131177
@@ Property / Wikidata QID: Q129131177 / rank @@
+Normal rank