The following pages link to A Tale of Two Time Scales (Q5754906):
Displaying 50 items.
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
- Testing for jumps in noisy high frequency data (Q527932) (← links)
- Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
- Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
- International market links and volatility transmission (Q528027) (← links)
- Bootstrapping realized multivariate volatility measures (Q528117) (← links)
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
- Subsampling high frequency data (Q530605) (← links)
- Data-based ranking of realised volatility estimators (Q530606) (← links)
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202) (← links)
- The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise (Q543441) (← links)
- Bias-corrected realized variance under dependent microstructure noise (Q543443) (← links)
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility (Q544506) (← links)
- Asymptotic equivalence for inference on the volatility from noisy observations (Q548535) (← links)
- Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
- Integrated volatility and round-off error (Q605018) (← links)
- Bayesian analysis of structural credit risk models with microstructure noises (Q609830) (← links)
- New tests for jumps in semimartingale models (Q625314) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- Parametric estimation of stationary stochastic processes under indirect observability (Q637529) (← links)
- Large deviations of realized volatility (Q665439) (← links)
- Sequential monitoring of portfolio betas (Q725685) (← links)
- On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
- A new framework for extracting coarse-grained models from time series with multiscale structure (Q727752) (← links)
- Statistical inference for perturbed multiscale dynamical systems (Q730344) (← links)
- Maximum likelihood drift estimation for multiscale diffusions (Q734631) (← links)
- Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- Estimating quadratic variation when quoted prices change by a constant increment (Q737253) (← links)
- Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
- Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263) (← links)
- High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273) (← links)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
- Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
- Subsampling realised kernels (Q737277) (← links)
- Realized volatility forecasting and market microstructure noise (Q737278) (← links)
- Volatility forecasting and microstructure noise (Q737282) (← links)
- Causality effects in return volatility measures with random times (Q737283) (← links)
- Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- A martingale approach for testing diffusion models based on infinitesimal operator (Q737898) (← links)
- Nonparametric model validations for hidden Markov models with applications in financial econometrics (Q737900) (← links)
- Integrated variance forecasting: model based vs. reduced form (Q737909) (← links)
- Testing and detecting jumps based on a discretely observed process (Q738031) (← links)
