Estimating spot volatility with high-frequency financial data (Q2451790): Difference between revisions

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+Testing for jumps in a discretely observed process
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+Ultra high frequency volatility estimation with dependent microstructure noise
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+The Distribution of Realized Exchange Rate Volatility
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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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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Generalized autoregressive conditional heteroscedasticity
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+Long memory in continuous-time stochastic volatility models
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Spot volatility estimation for high-frequency data
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+Continuous Record Asymptotics for Rolling Sample Variance Estimators
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+Jump-preserving regression and smoothing using local linear fitting: a compromise
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+Q3911791
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+Q4349243
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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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+NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
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+Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
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+Inference for volatility-type objects and implications for hedging
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+A central limit theorem for the functional estimation of the spot volatility
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+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
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+INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
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+Quasi-maximum likelihood estimation of volatility with high frequency data
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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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