Pages that link to "Item:Q527978"

The following pages link to Jump-robust volatility estimation using nearest neighbor truncation (Q527978):

Displaying 50 items.

• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Modeling and forecasting exchange rate volatility in time-frequency domain (Q322677) (← links)
• Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model (Q369722) (← links)
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
• Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• A martingale decomposition of discrete Markov chains (Q529765) (← links)
• Realised quantile-based estimation of the integrated variance (Q736690) (← links)
• Volatility forecasting accuracy for Bitcoin (Q777644) (← links)
• The effect of additive outliers on a fractional unit root test (Q1622085) (← links)
• The effect of infrequent trading on detecting price jumps (Q1633220) (← 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)
• Cojumps and asset allocation in international equity markets (Q1734591) (← links)
• Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) (← links)
• Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084) (← links)
• Incorporating realized quarticity into a realized stochastic volatility model (Q2011046) (← links)
• Nonparametric estimation of jump diffusion models (Q2024442) (← links)
• Cointegration in high frequency data (Q2044337) (← links)
• Modeling returns volatility: realized GARCH incorporating realized risk measure (Q2150399) (← links)
• Directed acyclic graph based information shares for price discovery (Q2152334) (← links)
• Testing for the presence of jump components in jump diffusion models (Q2172017) (← links)
• The contribution of intraday jumps to forecasting the density of returns (Q2181523) (← links)
• Volatility estimation and jump detection for drift-diffusion processes (Q2190225) (← links)
• High-frequency jump tests: which test should we use? (Q2224890) (← links)
• Bootstrap prediction in univariate volatility models with leverage effect (Q2228747) (← links)
• Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin (Q2246724) (← links)
• Forecasting the volatility of crude oil futures using intraday data (Q2256329) (← links)
• Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
• Asymptotic results for the Fourier estimator of the integrated quarticity (Q2292050) (← links)
• Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
• Unified inference for nonlinear factor models from panels with fixed and large time span (Q2323363) (← links)
• Spot volatility estimation using delta sequences (Q2339119) (← links)
• Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
• Specification and structural break tests for additive models with applications to realized variance data (Q2354863) (← links)
• Stock market contagion: a new approach (Q2416322) (← links)
• The dynamic mixed hitting-time model for multiple transaction prices and times (Q2451776) (← links)
• The observed asymptotic variance: hard edges, and a regression approach (Q2658793) (← links)
• A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps (Q2678314) (← links)
• Estimating stochastic volatility models using realized measures (Q2691659) (← links)
• Bias reduction in spot volatility estimation from options (Q2697974) (← links)
• Volatility Estimation Based on High-Frequency Data (Q3112466) (← links)
• Intraday Serial Correlation,Volatility, and Jump: Evidence from China's Stock Market (Q3178528) (← links)
• Volatility forecasting of strategically linked commodity ETFs: gold-silver (Q4554245) (← links)
• A slightly depressing jump model: intraday volatility pattern simulation (Q4554418) (← links)
• Forecasting and trading high frequency volatility on large indices (Q4554453) (← links)
• Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (Q4619499) (← links)
• Heterogenous market hypothesis evaluation using multipower variation volatility (Q4638847) (← links)