Pages that link to "Item:Q5389952"

The following pages link to IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952):

Displaying 26 items.

• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
• Time-varying leverage effects (Q527980) (← links)
• Bootstrapping realized multivariate volatility measures (Q528117) (← links)
• The speed of convergence of the threshold estimator of integrated variance (Q544491) (← links)
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
• Mixed-scale jump regressions with bootstrap inference (Q1676389) (← links)
• Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
• Cojumps and asset allocation in international equity markets (Q1734591) (← links)
• Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
• Testing for simultaneous jumps in case of asynchronous observations (Q1750093) (← links)
• Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps (Q1800948) (← links)
• Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084) (← links)
• Variation and efficiency of high-frequency betas (Q2116364) (← links)
• Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
• Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (Q2347453) (← links)
• Truncated realized covariance when prices have infinite variation jumps (Q2359710) (← links)
• Adaptive estimation of continuous-time regression models using high-frequency data (Q2398973) (← links)
• Estimation of the realized (co-)volatility vector: large deviations approach (Q2402430) (← links)
• Large and moderate deviations of realized covolatility (Q2452772) (← links)
• On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) (← links)
• Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
• An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636) (← links)
• ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
• (Q5879918) (← links)
• ETF basket-adjusted covariance estimation (Q6108294) (← links)