The asymptotics of the integrated self-weighted cross volatility estimator (Q394775): Difference between revisions

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+Estimating the degree of activity of jumps in high frequency data
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+Ultra high frequency volatility estimation with dependent microstructure noise
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+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
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+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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+On covariance estimation of non-synchronously observed diffusion processes
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+Confidence interval of the jump activity index based on empirical likelihood using high frequency data
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+ANOVA for diffusions and Itō processes
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+An integrated cross-volatility estimation for asynchronous noisy data
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+Q3996259
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+Vast volatility matrix estimation for high-frequency financial data
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+Estimating covariation: Epps effect, microstructure noise
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