Pages that link to "Item:Q527958"

The following pages link to Jumps in equilibrium prices and market microstructure noise (Q527958):

Displaying 22 items.

• The Gumbel test and jumps in the volatility process (Q300783) (← links)
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
• Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
• A continuous and efficient fundamental price on the discrete order book grid (Q2149276) (← links)
• Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
• Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process (Q2188020) (← links)
• Volatility estimation and jump detection for drift-diffusion processes (Q2190225) (← links)
• High-frequency jump tests: which test should we use? (Q2224890) (← links)
• Change-point inference on volatility in noisy Itô semimartingales (Q2280017) (← links)
• Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
• State-domain change point detection for nonlinear time series regression (Q2697972) (← links)
• The Estimation of Leverage Effect With High-Frequency Data (Q4975343) (← links)
• Nonparametric estimation of jump characteristics under market microstructure noise (Q4976548) (← links)
• A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps (Q5034147) (← links)
• Effects of intervaling on high-frequency realized higher-order moments (Q5139222) (← links)
• Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
• Bootstrapping High-Frequency Jump Tests (Q5231507) (← links)
• Volatility Estimation and Jump Testing via Realized Information Variation (Q5237530) (← links)
• Stock co-jump networks (Q6150522) (← links)
• Testing for jumps with robust spot volatility estimators (Q6490929) (← links)