Pages that link to "Item:Q2642802"

The following pages link to Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802):

Displayed 50 items.

• 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)
• Optimal sampling frequency for high frequency data using a finite mixture model (Q397209) ‎ (← 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)
• ANOVA for diffusions and Itō processes (Q449957) ‎ (← links)
• Asymptotic equivalence for inference on the volatility from noisy observations (Q548535) ‎ (← links)
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) ‎ (← links)
• Integrated volatility and round-off error (Q605018) ‎ (← links)
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) ‎ (← links)
• Bipower-type estimation in a noisy diffusion setting (Q841480) ‎ (← 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)
• 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)
• Vast volatility matrix estimation for high-frequency financial data (Q2380093) ‎ (← links)
• A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987) ‎ (← links)
• Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) ‎ (← links)
• Zero-intelligence realized variance estimation. (Q2430259) ‎ (← links)
• Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) ‎ (← links)
• Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (Q2448712) ‎ (← links)
• One approach to the problem of nonparametric estimation in statistics of random processes based on the method of ill-posed problem (Q2451255) ‎ (← links)
• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) ‎ (← links)
• Estimating spot volatility with high-frequency financial data (Q2451790) ‎ (← links)
• Efficient estimation of drift parameters in stochastic volatility models (Q2463719) ‎ (← links)
• Are volatility estimators robust with respect to modeling assumptions? (Q2469643) ‎ (← links)
• On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) ‎ (← links)
• Bridge homogeneous volatility estimators (Q2879014) ‎ (← links)
• Discrete sine transform for multi-scale realized volatility measures (Q2893209) ‎ (← links)
• Fourier volatility forecasting with high-frequency data and microstructure noise (Q2893211) ‎ (← links)
• Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data (Q2911651) ‎ (← links)
• The Double Gaussian Approximation for High Frequency Data (Q2911663) ‎ (← links)
• Sequential Monte Carlo methods for stochastic volatility models: a review (Q3008580) ‎ (← links)
• Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures (Q3018503) ‎ (← links)
• A new microstructure noise index (Q3019507) ‎ (← links)
• Volatility Estimation Based on High-Frequency Data (Q3112466) ‎ (← links)
• REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) ‎ (← links)
• Realized Volatility: A Review (Q3539862) ‎ (← links)
• Moving Average-Based Estimators of Integrated Variance (Q3539864) ‎ (← links)
• Edgeworth Corrections for Realized Volatility (Q3539869) ‎ (← links)
• Realized kernels in practice: trades and quotes (Q3653354) ‎ (← links)
• VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) ‎ (← links)
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473) ‎ (← links)
• FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112) ‎ (← links)