Pages that link to "Item:Q311638"

The following pages link to Efficient estimation of integrated volatility incorporating trading information (Q311638):

Displaying 24 items.

• Trading-flow assisted estimation of the jump activity index (Q829093) (← links)
• Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
• Estimating the integrated volatility with tick observations (Q1739633) (← links)
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• Distribution-free specification test for volatility function based on high-frequency data with microstructure noise (Q2082567) (← 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)
• Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
• Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
• High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
• Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
• Time-Varying Periodicity in Intraday Volatility (Q5208074) (← links)
• (Q5237656) (← links)
• Volatility measurement with pockets of extreme return persistence (Q6090561) (← links)
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
• Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach (Q6190639) (← links)
• Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
• Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process (Q6498642) (← links)
• Disentangling Sources of High Frequency Market Microstructure Noise (Q6617733) (← links)
• Local Parametric Estimation in High Frequency Data (Q6626343) (← links)
• High-frequency volatility estimation and forecasting with a novel Bayesian LGI model (Q6635564) (← links)
• Asymptotic normality of kernel density estimation for mixing high-frequency data (Q6669476) (← links)