Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / arXiv ID
 
Property / arXiv ID: 1412.8173 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5318420 / rank
 
Normal rank
Property / cites work
 
Property / cites work: High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data / 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: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4269108 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data / rank
 
Normal rank
Property / cites work
 
Property / cites work: On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new weak dependence condition and applications to moment inequalities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4311643 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusions with measurement errors. I. Local Asymptotic Normality / 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: Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: On covariance estimation of non-synchronously observed diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonsynchronous covariation process and limit theorems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4349243 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Microstructure noise in the continuous case: the pre-averaging approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3707110 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3692624 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fourier series method for measurement of multivariate volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Fourier transform method for nonparametric estimation of multivariate volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local asymptotic mixed normality property for nonsynchronously observed diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-likelihood analysis for nonsynchronously observed diffusion processes / 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: Contrast-based information criterion for ergodic diffusion processes from discrete observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi likelihood analysis of volatility and nondegeneracy of statistical random field / rank
 
Normal rank
Property / cites work
 
Property / cites work: Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank

Latest revision as of 15:20, 15 July 2024

scientific article
Language Label Description Also known as
English
Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
scientific article

    Statements

    Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (English)
    0 references
    0 references
    0 references
    18 May 2018
    0 references
    asymptotic efficiency
    0 references
    Bayes-type estimation
    0 references
    diffusion processes
    0 references
    local asymptotic normality
    0 references
    market microstructure noise
    0 references
    maximum-likelihood-type estimation
    0 references
    nonsynchronous observations
    0 references
    parametric estimation
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

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