Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2010.03.027
@@ Property / DOI: 10.1016/j.jeconom.2010.03.027 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2010.03.027
+Normal rank
@@ Property / OpenAlex ID @@
+W2061820889
@@ Property / OpenAlex ID: W2061820889 / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+Realized volatility forecasting and option pricing
+Normal rank
@@ Property / cites work @@
+Q5309198
@@ Property / cites work: Q5309198 / rank @@
+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 @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
@@ Property / cites work: PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA / rank @@
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Predicting volatility: getting the most out of return data sampled at different frequencies
+Normal rank
@@ Property / cites work @@
+A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
+Normal rank
@@ Property / cites work @@
+An Improved Formula for the Asymptotic Variance of Spectrum Estimates
+Normal rank
@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
+Normal rank
@@ Property / cites work @@
+Causality effects in return volatility measures with random times
+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 / DOI @@
+.1016/J.JECONOM.2010.03.027
@@ Property / DOI: 10.1016/J.JECONOM.2010.03.027 / rank @@
+Normal rank