Estimating the integrated volatility with tick observations (Q1739633): Difference between revisions

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-.1016/j.jeconom.2018.09.006
@@ Property / DOI: 10.1016/j.jeconom.2018.09.006 / rank @@
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+Testing for jumps in noisy high frequency data
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+Ultra high frequency volatility estimation with dependent microstructure noise
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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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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
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+Microstructure noise in the continuous case: the pre-averaging approach
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+Statistical Properties of Microstructure Noise
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+Q4778955
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+Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
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+REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
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+Efficient estimation of integrated volatility incorporating trading information
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+A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
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+Volatility inference in the presence of both endogenous time and microstructure noise
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+Q4779802
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+On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
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+Quasi-maximum likelihood estimation of volatility with high frequency data
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+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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+A Tale of Two Time Scales
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+On the estimation of integrated covariance matrices of high dimensional diffusion processes
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@@ Property / Wikidata QID @@
+Q129131177
@@ Property / Wikidata QID: Q129131177 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2018.09.006
@@ Property / DOI: 10.1016/J.JECONOM.2018.09.006 / rank @@
+Normal rank