High frequency market microstructure noise estimates and liquidity measures (Q1018630): Difference between revisions

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+Ultra high frequency volatility estimation with dependent microstructure noise
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+High frequency market microstructure noise estimates and liquidity measures
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+Q3424864
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+The Distribution of Realized Exchange Rate Volatility
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+Microstructure Noise, Realized Variance, and Optimal Sampling
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Common risk factors in the returns on stocks and bonds
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+Bootstrapping Realized Volatility
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+Q4896006
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+Asymptotic error distributions for the Euler method for stochastic differential equations
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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+Edgeworth expansions for realized volatility and related estimators
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+A Tale of Two Time Scales
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