Pages that link to "Item:Q1706484"
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The following pages link to A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484):
Displayed 11 items.
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Estimating the integrated volatility with tick observations (Q1739633) (← links)
- Trading information, price discreteness, and volatility estimation (Q2123280) (← links)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
- Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246) (← links)
- Mean-Variance Portfolio Selection for Partially Observed Point Processes (Q5136123) (← links)
- Volatility measurement with pockets of extreme return persistence (Q6090561) (← links)
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406) (← links)
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach (Q6190639) (← links)