Pages that link to "Item:Q4906543"

The following pages link to VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543):

Displaying 21 items.

• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
• Estimation of the instantaneous volatility (Q411549) (← links)
• Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
• Integrated volatility and round-off error (Q605018) (← links)
• Central limit theorems for realized volatility under hitting times of an irregular grid (Q713209) (← links)
• Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← 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 of the lead-lag parameter from non-synchronous data (Q1952430) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• Long versus short time scales: the rough dilemma and beyond (Q2145699) (← links)
• Estimation of the realized (co-)volatility vector: large deviations approach (Q2402430) (← links)
• Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
• REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) (← links)
• Volatility is rough (Q4554473) (← links)
• Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity (Q4638722) (← 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)
• On Bid and Ask Side-Specific Tick Sizes (Q6091093) (← links)
• ETF basket-adjusted covariance estimation (Q6108294) (← links)