Pages that link to "Item:Q605016"

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)