Microstructure noise in the continuous case: the pre-averaging approach (Q2389230): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Removed claim: author (P16): Item:Q1735535
Import241208061232 (talk | contribs)
Normalize DOI.
 
(4 intermediate revisions by 4 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.spa.2008.11.004 / rank
Normal rank
 
Property / author
 
Property / author: Ying-Ying Li / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.spa.2008.11.004 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2003413166 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic error distributions for the Euler method for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic properties of realized power variations and related functionals of semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous Record Asymptotics for Rolling Sample Variance Estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Distribution of Realized Exchange Rate Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and Forecasting Realized Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Econometrics of Ultra-high-frequency Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bootstrapping Realized Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4896006 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusions with measurement errors. II. Optimal estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Are volatility estimators robust with respect to modeling assumptions? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ultra high frequency volatility estimation with dependent microstructure noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.SPA.2008.11.004 / rank
 
Normal rank

Latest revision as of 08:42, 18 December 2024

scientific article
Language Label Description Also known as
English
Microstructure noise in the continuous case: the pre-averaging approach
scientific article

    Statements

    Microstructure noise in the continuous case: the pre-averaging approach (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    15 July 2009
    0 references
    consistency
    0 references
    continuity
    0 references
    discrete observation
    0 references
    Itô process
    0 references
    leverage effect
    0 references
    pre-averaging
    0 references
    quarticity
    0 references
    realized volatility
    0 references
    stable convergence
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references