Pages that link to "Item:Q366987"

The following pages link to Quarticity and other functionals of volatility: efficient estimation (Q366987):

Displaying 42 items.

• Inference theory for volatility functional dependencies (Q284294) (← links)
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Volatility occupation times (Q385768) (← links)
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485) (← links)
• Variation-based tests for volatility misspecification (Q898596) (← links)
• On the systematic and idiosyncratic volatility with large panel high-frequency data (Q1650070) (← links)
• Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
• Mixed-scale jump regressions with bootstrap inference (Q1676389) (← links)
• Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
• Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← links)
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
• Statistical inference for the doubly stochastic self-exciting process (Q1750090) (← links)
• A rank test for the number of factors with high-frequency data (Q2000871) (← links)
• Nonparametric estimation of jump diffusion models (Q2024442) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• Volatility coupling (Q2054472) (← links)
• Variation and efficiency of high-frequency betas (Q2116364) (← links)
• Testing for the presence of jump components in jump diffusion models (Q2172017) (← links)
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests (Q2182138) (← links)
• Statistical inferences for price staleness (Q2190239) (← links)
• Power variations for a class of Brown-Resnick processes (Q2191423) (← links)
• Volatility regressions with fat tails (Q2227065) (← links)
• Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
• Asymptotic results for the Fourier estimator of the integrated quarticity (Q2292050) (← links)
• High-frequency factor models and regressions (Q2305976) (← links)
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
• Spot volatility estimation using delta sequences (Q2339119) (← links)
• Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (Q2347453) (← links)
• Adaptive estimation of continuous-time regression models using high-frequency data (Q2398973) (← links)
• An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility (Q2447642) (← links)
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics (Q2515498) (← links)
• Asymptotic properties of correlation-based principal component analysis (Q2673193) (← links)
• ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION (Q2976209) (← links)
• EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES (Q2986526) (← links)
• Bootstrapping Laplace transforms of volatility (Q6088832) (← links)
• Uniform predictive inference for factor models with instrumental and idiosyncratic betas (Q6090585) (← links)
• ETF basket-adjusted covariance estimation (Q6108294) (← links)
• Inference on the maximal rank of time-varying covariance matrices using high-frequency data (Q6117051) (← links)
• Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)
• Optimal nonparametric range-based volatility estimation (Q6193007) (← links)
• High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (Q6199636) (← links)