The following pages link to A new microstructure noise index (Q3019507):
Displaying 9 items.
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Testing the type of a semi-martingale: Itō against multifractal (Q1952101) (← links)
- Estimation of the lead-lag parameter from non-synchronous data (Q1952430) (← links)
- Some limit theorems for Hawkes processes and application to financial statistics (Q2447641) (← links)
- Measuring the relevance of the microstructure noise in financial data (Q2447651) (← links)
- Volatility is rough (Q4554473) (← links)
- VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)
- Characterization of nonlinear Besov spaces (Q5206269) (← links)
- Modelling microstructure noise with mutually exciting point processes (Q5746743) (← links)
