Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (Q2347453): Difference between revisions

@@ Property / cites work @@
+Realized Beta: Persistence and Predictability
@@ Property / cites work: Realized Beta: Persistence and Predictability / rank @@
+Normal rank
@@ Property / cites work @@
+SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
+Normal rank
@@ Property / cites work @@
+An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
+Normal rank
@@ Property / cites work @@
+Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
+Normal rank
@@ Property / cites work @@
+Self-Normalized Processes
@@ Property / cites work: Self-Normalized Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Central limit theorems for realized volatility under hitting times of an irregular grid
+Normal rank
@@ Property / cites work @@
+IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
+Normal rank
@@ Property / cites work @@
+Q4328700
@@ Property / cites work: Q4328700 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonsynchronous covariation process and limit theorems
+Normal rank
@@ Property / cites work @@
+An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
+Normal rank
@@ Property / cites work @@
+Nonparametric goodness-of-fit testing under Gaussian models
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Discretization of processes.
@@ Property / cites work: Discretization of processes. / rank @@
+Normal rank
@@ Property / cites work @@
+A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
+Normal rank
@@ Property / cites work @@
+Quarticity and other functionals of volatility: efficient estimation
+Normal rank
@@ Property / cites work @@
+Q4856610
@@ Property / cites work: Q4856610 / rank @@
+Normal rank
@@ Property / cites work @@
+WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+ANOVA for diffusions and Itō processes
@@ Property / cites work: ANOVA for diffusions and Itō processes / rank @@
+Normal rank
@@ Property / cites work @@
+Inference for Continuous Semimartingales Observed at High Frequency
+Normal rank
@@ Property / cites work @@
+Jumps and betas: a new framework for disentangling and estimating systematic risks
+Normal rank