Volatility Estimation Based on High-Frequency Data (Q3112466): Difference between revisions

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+Ultra high frequency volatility estimation with dependent microstructure noise
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+Modeling and Forecasting Realized Volatility
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+Jump-robust volatility estimation using nearest neighbor truncation
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Limit theorems for multipower variation in the presence of jumps
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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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+Realized kernels in practice: trades and quotes
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+Subsampling realised kernels
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+Financial econometric analysis at ultra-high frequency: Data handling concerns
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+Realized range-based estimation of integrated variance
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+Bias-correcting the realized range-based variance in the presence of market microstructure noise
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+Realised quantile-based estimation of the integrated variance
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+Discrete sine transform for multi-scale realized volatility measures
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+Q5629053
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+The Asymptotic Distribution of the Range of Sums of Independent Random Variables
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+Q4429917
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+Covariance measurement in the presence of non-synchronous trading and market microstructure noise
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+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
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+Measuring volatility with the realized range
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+Realized Volatility: A Review
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+On Some Useful "Inefficient" Statistics
@@ Property / cites work: On Some Useful "Inefficient" Statistics / rank @@
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+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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+Limit theorems for bipower variation of semimartingales
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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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