Pages that link to "Item:Q2642802"
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The following pages link to Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802):
Displayed 50 items.
- 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)
- Difference based estimators and infill statistics (Q2339214) (← links)