Inference from high-frequency data: a subsampling approach (Q515131): Difference between revisions

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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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+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
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+Realized volatility forecasting and market microstructure noise
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+Jump-robust volatility estimation using nearest neighbor truncation
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+Asset pricing for general processes
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+Q5493536
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+Realized kernels in practice: trades and quotes
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+ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR
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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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+Discretization of processes.
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+Subsampling high frequency data
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+The Malliavin Calculus and Related Topics
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+Volatility forecast comparison using imperfect volatility proxies
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+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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+Subsampling
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+Model checks for the volatility under microstructure noise
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