Pages that link to "Item:Q3191831"

The following pages link to REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831):

Displaying 38 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)
• Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
• Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
• Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
• Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
• Central limit theorems for realized volatility under hitting times of an irregular grid (Q713209) (← links)
• Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
• Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
• Estimating the integrated volatility with tick observations (Q1739633) (← links)
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
• Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
• Testing for jumps and jump intensity path dependence (Q1753059) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
• Parametric inference for diffusions observed at stopping times (Q2188470) (← links)
• Asymptotic properties of the realized skewness and related statistics (Q2317879) (← links)
• Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
• Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing (Q2835311) (← links)
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
• EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES (Q2986526) (← links)
• A two-step estimation of diffusion processes using noisy observations (Q4634446) (← links)
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation (Q4636365) (← links)
• Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity (Q4638722) (← links)
• On Integrated Volatility of Itô Semimartingales when Sampling Times are Endogenous (Q5177619) (← links)
• ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
• ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
• On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
• Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
• Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous (Q6620891) (← links)
• Jumps or Staleness? (Q6626220) (← links)
• Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (Q6634872) (← links)
• High-frequency volatility estimation and forecasting with a novel Bayesian LGI model (Q6635564) (← links)