Pages that link to "Item:Q2389230"
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The following pages link to Microstructure noise in the continuous case: the pre-averaging approach (Q2389230):
Displaying 50 items.
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805) (← links)
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- Estimating functions for noisy observations of ergodic diffusions (Q265660) (← links)
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) (← links)
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
- Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930) (← links)
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
- Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764) (← links)
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions (Q476746) (← links)
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
- Testing for jumps in noisy high frequency data (Q527932) (← links)
- Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
- Subsampling high frequency data (Q530605) (← links)
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility (Q544506) (← links)
- Asymptotic equivalence for inference on the volatility from noisy observations (Q548535) (← links)
- Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
- Integrated volatility and round-off error (Q605018) (← links)
- New tests for jumps in semimartingale models (Q625314) (← links)
- Testing whether jumps have finite or infinite activity (Q638809) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Bipower-type estimation in a noisy diffusion setting (Q841480) (← links)
- Limit theorems for moving averages of discretized processes plus noise (Q973875) (← links)
- On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) (← links)
- Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative (Q1621997) (← links)
- Forecasting realized volatility: a review (Q1622112) (← links)
