Pages that link to "Item:Q4979933"

The following pages link to A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY (Q4979933):

Displaying 14 items.

• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
• Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• Testing for the presence of jump components in jump diffusion models (Q2172017) (← links)
• Asymptotic results for the Fourier estimator of the integrated quarticity (Q2292050) (← links)
• The observed asymptotic variance: hard edges, and a regression approach (Q2658793) (← links)
• The effect of intraday periodicity on realized volatility measures (Q2696331) (← links)
• Estimation of quarticity with high-frequency data (Q2873034) (← links)
• ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
• A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA (Q5378499) (← links)
• Exploiting the errors: a simple approach for improved volatility forecasting (Q5964747) (← links)
• Optimal Execution with Quadratic Variation Inventories (Q6169622) (← links)