Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352): Difference between revisions

@@ 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/10.1007/s42081-020-00104-w
+Normal rank
@@ Property / OpenAlex ID @@
+W3127274554
@@ Property / OpenAlex ID: W3127274554 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5495335
@@ Property / cites work: Q5495335 / rank @@
+Normal rank
@@ Property / cites work @@
+Principal Component Analysis of High-Frequency Data
+Normal rank
@@ Property / cites work @@
+Estimating linear statistical relationships
@@ Property / cites work: Estimating linear statistical relationships / rank @@
+Normal rank
@@ Property / cites work @@
+Q4420195
@@ Property / cites work: Q4420195 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
+Normal rank
@@ Property / cites work @@
+Econometrics of co-jumps in high-frequency data with noise
+Normal rank
@@ Property / cites work @@
+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Testing the maximal rank of the volatility process for continuous diffusions observed with noise
+Normal rank
@@ Property / cites work @@
+Multivariate Statistics
@@ Property / cites work: Multivariate Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Diffusions with measurement errors. I. Local Asymptotic Normality
+Normal rank
@@ Property / cites work @@
+Stable Convergence and Stable Limit Theorems
@@ Property / cites work: Stable Convergence and Stable Limit Theorems / rank @@
+Normal rank
@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of realized power variations and related functionals of semimartingales
+Normal rank
@@ Property / cites work @@
+A test for the rank of the volatility process: the random perturbation approach
+Normal rank
@@ Property / cites work @@
+Discretization of processes.
@@ Property / cites work: Discretization of processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for common arrivals of jumps for discretely observed multidimensional processes
+Normal rank
@@ Property / cites work @@
+Introduction to Time Series Modeling
@@ Property / cites work: Introduction to Time Series Modeling / rank @@
+Normal rank
@@ Property / cites work @@
+A robust-filtering method for noisy non-stationary multivariate time series with econometric applications
+Normal rank
@@ Property / cites work @@
+Separating information maximum likelihood method for high-frequency financial data
+Normal rank
@@ Property / cites work @@
+Power Variations and Testing for Co‐Jumps: The Small Noise Approach
+Normal rank
@@ Property / cites work @@
+Jump Regressions
@@ Property / cites work: Jump Regressions / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive estimation of continuous-time regression models using high-frequency data
+Normal rank
@@ Property / cites work @@
+Fourier series method for measurement of multivariate volatilities
+Normal rank
@@ Property / cites work @@
+A Fourier transform method for nonparametric estimation of multivariate volatility
+Normal rank
@@ Property / cites work @@
+Fourier-Malliavin Volatility Estimation
@@ Property / cites work: Fourier-Malliavin Volatility Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Order estimation in ARMA-models by Lagrangian multiplier tests
+Normal rank
@@ Property / cites work @@
+TESTS OF RANK
@@ Property / cites work: TESTS OF RANK / rank @@
+Normal rank