Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273): Difference between revisions

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+Modeling and Forecasting Realized Volatility
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+Normal rank
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Realized volatility forecasting and option pricing
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+Q5309198
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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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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Predicting volatility: getting the most out of return data sampled at different frequencies
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+A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
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+An Improved Formula for the Asymptotic Variance of Spectrum Estimates
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Causality effects in return volatility measures with random times
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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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