Pages that link to "Item:Q2835311"

The following pages link to Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing (Q2835311):

Displaying 12 items.

• 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)
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
• Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
• A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
• The observed asymptotic variance: hard edges, and a regression approach (Q2658793) (← links)
• Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)