Pages that link to "Item:Q391800"

The following pages link to On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800):

Displaying 30 items.

• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
• Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
• Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
• Quasi-likelihood analysis for nonsynchronously observed diffusion processes (Q740191) (← links)
• Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
• Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
• Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← 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)
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
• Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
• Laws of large numbers for Hayashi-Yoshida-type functionals (Q1999591) (← links)
• The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling (Q2013324) (← links)
• Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data (Q2209820) (← links)
• Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
• Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
• Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing (Q2835311) (← links)
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032) (← links)
• Efficient and positive semidefinite pre-averaging realized covariance estimator (Q5155195) (← links)
• BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE (Q5357388) (← links)
• ETF basket-adjusted covariance estimation (Q6108294) (← links)
• Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)