Pages that link to "Item:Q1668576"

The following pages link to Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576):

Displaying 8 items.

• 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)
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
• Statistical inference for the doubly stochastic self-exciting process (Q1750090) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• Cointegration in high frequency data (Q2044337) (← 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)