Pages that link to "Item:Q449957"
From MaRDI portal
The following pages link to ANOVA for diffusions and Itō processes (Q449957):
Displaying 50 items.
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- The asymptotics of the integrated self-weighted cross volatility estimator (Q394775) (← links)
- A Gaussian calculus for inference from high frequency data (Q470517) (← links)
- Implied and realized volatility: empirical model selection (Q470518) (← links)
- Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
- Bootstrapping realized multivariate volatility measures (Q528117) (← links)
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility (Q544506) (← links)
- Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces (Q605878) (← links)
- Nonsynchronous covariation process and limit theorems (Q719383) (← links)
- Second-order asymptotic expansion for a non-synchronous covariation estimator (Q720740) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
- Subsampling realised kernels (Q737277) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Realized volatility with stochastic sampling (Q981001) (← links)
- Stochastic regression and its application to hedging in finance (Q1042957) (← links)
- Financial options and statistical prediction intervals (Q1431433) (← links)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
- Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
- Testing against constant factor loading matrix with large panel high-frequency data (Q1753061) (← links)
- Irregular sampling and central limit theorems for power variations: the continuous case (Q1944677) (← links)
- A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858) (← 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)
- Variation and efficiency of high-frequency betas (Q2116364) (← links)
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests (Q2182138) (← links)
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
- Nonparametric filtering of conditional state-price densities (Q2294444) (← links)
- High-frequency factor models and regressions (Q2305976) (← links)
- Spot volatility estimation using delta sequences (Q2339119) (← links)
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (Q2347453) (← links)
- A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987) (← links)
- Adaptive estimation of continuous-time regression models using high-frequency data (Q2398973) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- Central limit theorem for the realized volatility based on tick time sampling (Q2430257) (← links)
- Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
- Are volatility estimators robust with respect to modeling assumptions? (Q2469643) (← links)
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802) (← links)
- Identifying latent factors based on high-frequency data (Q2688663) (← links)
- The Double Gaussian Approximation for High Frequency Data (Q2911663) (← links)
- WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS (Q2981820) (← links)
