Estimation of the lead-lag parameter from non-synchronous data (Q1952430): Difference between revisions

@@ Property / author @@
-Marc Hoffmann
@@ Property / author: Marc Hoffmann / rank @@
-Normal rank
@@ Property / author @@
+Marc Hoffmann
@@ Property / author: Marc Hoffmann / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4871
@@ Property / arXiv ID: 1303.4871 / rank @@
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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+On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
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+Consistent estimation of covariation under nonsynchronicity
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+Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
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+Q3920437
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+Microstructure noise in the continuous case: the pre-averaging approach
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+Fourier series method for measurement of multivariate volatilities
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+VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
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+On the limiting spectral distribution of the covariance matrices of time-lagged processes
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+Integrated volatility and round-off error
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+A new microstructure noise index
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+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
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