Realized kernels in practice: trades and quotes (Q3653354): Difference between revisions

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+The Distribution of Realized Exchange Rate Volatility
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Microstructure Noise, Realized Variance, and Optimal Sampling
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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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+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
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+Microstructure noise in the continuous case: the pre-averaging approach
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+Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
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+Continuous Auctions and Insider Trading
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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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+A Tale of Two Time Scales
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