Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2008.09.016
@@ Property / DOI: 10.1016/j.jeconom.2008.09.016 / rank @@
-Normal rank
@@ Property / author @@
-Oliver B. Linton
@@ Property / author: Oliver B. Linton / rank @@
-Normal rank
@@ Property / author @@
+Oliver B. Linton
@@ Property / author: Oliver B. Linton / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B24
@@ Property / Mathematics Subject Classification ID: 91B24 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6596542
@@ Property / zbMATH DE Number: 6596542 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+endogenous noise
@@ Property / zbMATH Keywords: endogenous noise / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+market microstructure
@@ Property / zbMATH Keywords: market microstructure / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+realised volatility
@@ Property / zbMATH Keywords: realised volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+semimartingale
@@ Property / zbMATH Keywords: semimartingale / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2008.09.016
+Normal rank
@@ Property / OpenAlex ID @@
+W2090942229
@@ Property / OpenAlex ID: W2090942229 / rank @@
+Normal rank
@@ Property / cites work @@
+Realized volatility forecasting and market microstructure noise
+Normal rank
@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
+Normal rank
@@ Property / cites work @@
+Information in Securities Markets: Kyle Meets Glosten and Milgrom
+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 @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Power Variation and Time Change
@@ Property / cites work: Power Variation and Time Change / rank @@
+Normal rank
@@ Property / cites work @@
+A central limit theorem for m-dependent random variables with unbounded m
+Normal rank
@@ Property / cites work @@
+Fitting time series models to nonstationary processes
+Normal rank
@@ Property / cites work @@
+Volatility forecasting and microstructure noise
@@ Property / cites work: Volatility forecasting and microstructure noise / rank @@
+Normal rank
@@ Property / cites work @@
+Diffusions with measurement errors. I. Local Asymptotic Normality
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
+Normal rank
@@ Property / cites work @@
+Are volatility estimators robust with respect to modeling assumptions?
+Normal rank
@@ Property / cites work @@
+Q5447123
@@ Property / cites work: Q5447123 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4166110
@@ Property / cites work: Q4166110 / rank @@
+Normal rank
@@ Property / cites work @@
+On the errors-in-variables problem for time series
+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
@@ Property / cites work @@
+Edgeworth expansions for realized volatility and related estimators
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2008.09.016
@@ Property / DOI: 10.1016/J.JECONOM.2008.09.016 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:299254