Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (Q1023629): Difference between revisions

@@ Property / DOI @@
-.1016/j.csda.2007.07.014
@@ Property / DOI: 10.1016/j.csda.2007.07.014 / rank @@
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@@ Property / author @@
-Simona Sanfelici
@@ Property / author: Simona Sanfelici / rank @@
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@@ Property / author @@
+Simona Sanfelici
@@ Property / author: Simona Sanfelici / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
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@@ Property / cites work @@
+Q3374323
@@ Property / cites work: Q3374323 / rank @@
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@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
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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 @@
+Subsampling realised kernels
@@ Property / cites work: Subsampling realised kernels / rank @@
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@@ Property / cites work @@
+Q5841817
@@ Property / cites work: Q5841817 / rank @@
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+On measuring volatility of diffusion processes with high frequency data
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+Financial econometric analysis at ultra-high frequency: Data handling concerns
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+Q4850047
@@ Property / cites work: Q4850047 / rank @@
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@@ Property / cites work @@
+Fourier series method for measurement of multivariate volatilities
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+A Fourier transform method for nonparametric estimation of multivariate volatility
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+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
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@@ Property / DOI @@
+.1016/J.CSDA.2007.07.014
@@ Property / DOI: 10.1016/J.CSDA.2007.07.014 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1023629