Pages that link to "Item:Q5187622"
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The following pages link to NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (Q5187622):
Displaying 50 items.
- Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730) (← links)
- Testing the local volatility assumption: a statistical approach (Q470421) (← links)
- Dynamic single-index model for functional data (Q525915) (← links)
- Subsampling high frequency data (Q530605) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- Functional data analysis for volatility (Q738082) (← links)
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient (Q783274) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
- Variable bandwidth local maximum likelihood type estimation for diffusion processes (Q1711315) (← links)
- Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← links)
- Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084) (← links)
- Regularised forecasting via smooth-rough partitioning of the regression coefficients (Q2002584) (← links)
- Edgeworth corrections for spot volatility estimator (Q2006760) (← links)
- Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
- Nonparametric estimation of jump diffusion models (Q2024442) (← links)
- Volatility coupling (Q2054472) (← links)
- Asymptotic properties of Dirichlet kernel density estimators (Q2057837) (← links)
- Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps (Q2114256) (← links)
- Occupation density estimation for noisy high-frequency data (Q2116333) (← links)
- The drift burst hypothesis (Q2116347) (← links)
- Optimal kernel estimation of spot volatility of stochastic differential equations (Q2186644) (← links)
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models (Q2210240) (← links)
- Nonparametric filtering of conditional state-price densities (Q2294444) (← links)
- Spot volatility estimation using delta sequences (Q2339119) (← links)
- Adaptive estimation of continuous-time regression models using high-frequency data (Q2398973) (← links)
- Estimating spot volatility with high-frequency financial data (Q2451790) (← links)
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels (Q2697059) (← links)
- Bias reduction in spot volatility estimation from options (Q2697974) (← links)
- ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING (Q2826006) (← links)
- ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION (Q2976209) (← links)
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES (Q2986526) (← links)
- Unstable volatility: the break-preserving local linear estimator (Q3145404) (← links)
- REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) (← links)
- NONPARAMETRIC STOCHASTIC VOLATILITY (Q4554602) (← links)
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS (Q4959130) (← links)
- ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS (Q5012629) (← links)
- Jump-robust volatility estimation using dynamic dual-domain integration method (Q5079475) (← links)
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS (Q5176864) (← links)
- (Q5237656) (← links)
- CONVERGENCE RATES OF SUMS OF <i>α</i>-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES (Q5357399) (← links)
- A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA (Q5378499) (← links)
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112) (← links)
- Inference on volatility curve at high frequencies via functional data analysis (Q5867750) (← links)
- Price formation and optimal trading in intraday electricity markets (Q5918547) (← links)
- Price formation and optimal trading in intraday electricity markets (Q5970800) (← links)
- Uniform convergence rates for spot volatility estimation (Q6064073) (← links)
- Bootstrapping Laplace transforms of volatility (Q6088832) (← links)
- On the convergence of two types of estimators of quadratic variation (Q6182335) (← links)
- Optimal nonparametric range-based volatility estimation (Q6193007) (← links)
