Pages that link to "Item:Q605016"
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The following pages link to Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016):
Displayed 44 items.
- A bootstrap test for jumps in financial economics (Q2343319) (← links)
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
- The fine structure of equity-index option dynamics (Q2347729) (← links)
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (Q2355172) (← links)
- Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- Edgeworth expansion for the pre-averaging estimator (Q2408996) (← links)
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise (Q2412765) (← links)
- Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
- Measuring the relevance of the microstructure noise in financial data (Q2447651) (← links)
- Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (Q2448712) (← links)
- Estimating spot volatility with high-frequency financial data (Q2451790) (← links)
- The effect of intraday periodicity on realized volatility measures (Q2696331) (← links)
- ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING (Q2826006) (← links)
- On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) (← links)
- Estimation of quarticity with high-frequency data (Q2873034) (← links)
- Central Limit Theorems for the Non-Parametric Estimation of Time-Changed Lévy Models (Q2911696) (← links)
- Volatility Estimation Based on High-Frequency Data (Q3112466) (← links)
- Estimation of Correlation for Continuous Semimartingales (Q3145567) (← links)
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032) (← links)
- A two-step estimation of diffusion processes using noisy observations (Q4634446) (← links)
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation (Q4636365) (← links)
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity (Q4638722) (← links)
- Jump robust two time scale covariance estimation and realized volatility budgets (Q4683042) (← links)
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
- Estimation of Correlation Between Latent Processes (Q4976496) (← links)
- Nonparametric estimation of jump characteristics under market microstructure noise (Q4976548) (← links)
- A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY (Q4979933) (← links)
- Detection of jumps in financial time series (Q5083982) (← links)
- Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
- Volatility Estimation and Jump Testing via Realized Information Variation (Q5237530) (← links)
- Jump detection with wavelets for high-frequency financial time series (Q5245902) (← links)
- BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE (Q5357388) (← links)
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
- A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA (Q5378499) (← links)
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
- Modelling microstructure noise with mutually exciting point processes (Q5746743) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- Near-optimal estimation of jump activity in semimartingales (Q5963516) (← links)
- On the complete consistency of the kernel estimator of spot volatility (Q6053854) (← links)
- (Q6141817) (← links)
- Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data (Q6151654) (← links)
- On the convergence of two types of estimators of quadratic variation (Q6182335) (← links)
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach (Q6190639) (← links)