Pages that link to "Item:Q2642802"

The following pages link to Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802):

Displayed 50 items.

• Subsampling realised kernels (Q737277) ‎ (← links)
• Realized volatility forecasting and market microstructure noise (Q737278) ‎ (← links)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) ‎ (← links)
• Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) ‎ (← links)
• Bipower-type estimation in a noisy diffusion setting (Q841480) ‎ (← links)
• Variation-based tests for volatility misspecification (Q898596) ‎ (← links)
• A note on the central limit theorem for bipower variation of general functions (Q927926) ‎ (← links)
• Estimating stochastic volatility models using daily returns and realized volatility simultaneously (Q961439) ‎ (← links)
• Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) ‎ (← links)
• Limit theorems for moving averages of discretized processes plus noise (Q973875) ‎ (← links)
• Parametric and nonparametric models and methods in financial econometrics (Q975560) ‎ (← links)
• High frequency market microstructure noise estimates and liquidity measures (Q1018630) ‎ (← links)
• On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) ‎ (← links)
• Forecasting realized volatility: a review (Q1622112) ‎ (← links)
• Extended stochastic volatility models incorporating realised measures (Q1623565) ‎ (← links)
• Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) ‎ (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) ‎ (← links)
• Common price and volatility jumps in noisy high-frequency data (Q1657876) ‎ (← links)
• Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) ‎ (← links)
• Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (Q1706445) ‎ (← links)
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) ‎ (← links)
• Asymptotic inference about predictive accuracy using high frequency data (Q1706485) ‎ (← links)
• Estimating the integrated volatility with tick observations (Q1739633) ‎ (← links)
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) ‎ (← links)
• Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867) ‎ (← links)
• Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) ‎ (← links)
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) ‎ (← links)
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) ‎ (← links)
• Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) ‎ (← links)
• Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) ‎ (← links)
• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) ‎ (← links)
• Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (Q1751974) ‎ (← links)
• Adaptive wavelet estimation of the diffusion coefficient under additive error measurements (Q1930660) ‎ (← links)
• Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise (Q1952081) ‎ (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) ‎ (← links)
• Design-free estimation of integrated covariance matrices for high-frequency data (Q2078572) ‎ (← links)
• Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency (Q2079627) ‎ (← links)
• Distribution-free specification test for volatility function based on high-frequency data with microstructure noise (Q2082567) ‎ (← links)
• A CLT for second difference estimators with an application to volatility and intensity (Q2091830) ‎ (← links)
• Occupation density estimation for noisy high-frequency data (Q2116333) ‎ (← links)
• Trading information, price discreteness, and volatility estimation (Q2123280) ‎ (← links)
• Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) ‎ (← links)
• Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise (Q2219235) ‎ (← links)
• Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) ‎ (← links)
• Estimation of volatility in a high-frequency setting: a short review (Q2292043) ‎ (← links)
• Estimating stochastic volatility: the rough side to equity returns (Q2292049) ‎ (← links)
• High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) ‎ (← links)
• Confidence interval for correlation estimator between latent processes (Q2303484) ‎ (← links)
• Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) ‎ (← links)
• Spot volatility estimation using delta sequences (Q2339119) ‎ (← links)