Estimation of quarticity with high-frequency data (Q2873034): Difference between revisions

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+Modeling and Forecasting Realized Volatility
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+A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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+LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
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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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+Threshold bipower variation and the impact of jumps on volatility forecasting
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+A Theory of the Term Structure of Interest Rates
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+Zero-intelligence realized variance estimation.
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+Volatility forecasting and microstructure noise
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+On covariance estimation of non-synchronously observed diffusion processes
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+Microstructure noise in the continuous case: the pre-averaging approach
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+Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach
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+An econometric analysis of nonsynchronous trading
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+Fourier series method for measurement of multivariate volatilities
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+A Fourier transform method for nonparametric estimation of multivariate volatility
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+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
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+Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
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+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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+A CLOSER LOOK AT THE EPPS EFFECT
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+A Tale of Two Time Scales
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