The following pages link to (Q4913195):
Displaying 37 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)
- 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)
- Estimating jump-diffusions using closed-form likelihood expansions (Q311641) (← links)
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions (Q366977) (← links)
- Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
- Recent results in the theory and applications of CARMA processes (Q457274) (← 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)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
- Testing for simultaneous jumps in case of asynchronous observations (Q1750093) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise (Q2082567) (← links)
- A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
- Asset selection based on high frequency Sharpe ratio (Q2116331) (← links)
- Trading information, price discreteness, and volatility estimation (Q2123280) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (Q2355172) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- Estimation of a noisy subordinated Brownian motion via two-scales power variations (Q2408746) (← links)
- Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
- The observed asymptotic variance: hard edges, and a regression approach (Q2658793) (← links)
- Integration of CARMA processes and spot volatility modelling (Q2852488) (← links)
- Integer-valued Lévy processes and low latency financial econometrics (Q2873033) (← links)
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES (Q2986526) (← links)
- The Estimation of Leverage Effect With High-Frequency Data (Q4975343) (← links)
- The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets (Q5863642) (← links)
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (Q5880804) (← links)
- Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)
- On the estimation of the jump activity index in the case of random observation times (Q6176238) (← links)
- Nonparametric Bayesian volatility learning under microstructure noise (Q6176240) (← links)
