Testing for jumps in noisy high frequency data (Q527932): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2125472587
@@ Property / OpenAlex ID: W2125472587 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating the degree of activity of jumps in high frequency data
+Normal rank
@@ Property / cites work @@
+Testing for jumps in a discretely observed process
+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 @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Limit theorems for moving averages of discretized processes plus noise
+Normal rank
@@ Property / cites work @@
+Q4856610
@@ Property / cites work: Q4856610 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach
+Normal rank
@@ Property / cites work @@
+Are volatility estimators robust with respect to modeling assumptions?
+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