Pages that link to "Item:Q548535"

The following pages link to Asymptotic equivalence for inference on the volatility from noisy observations (Q548535):

Displaying 39 items.

• Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case (Q265666) (← links)
• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) (← links)
• Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
• An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
• Asymptotic equivalence for regression under fractional noise (Q482907) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
• Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
• Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise (Q901300) (← links)
• Efficient estimation of stable Lévy process with symmetric jumps (Q1656845) (← links)
• Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
• Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
• Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← links)
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
• Strong Gaussian approximation of the mixture Rasch model (Q1740527) (← links)
• Local asymptotic normality property for fractional Gaussian noise under high-frequency observations (Q1800793) (← links)
• Adaptive wavelet estimation of the diffusion coefficient under additive error measurements (Q1930660) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• Asymptotic equivalence for nonparametric regression with dependent errors: Gauss-Markov processes (Q2087407) (← links)
• Occupation density estimation for noisy high-frequency data (Q2116333) (← links)
• Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
• Gaussianization machines for non-Gaussian function estimation models (Q2194580) (← links)
• Nonparametric estimation of the ability density in the mixed-effect Rasch model (Q2199700) (← links)
• Change-point inference on volatility in noisy Itô semimartingales (Q2280017) (← links)
• Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
• Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Statistical convergence of Markov experiments to diffusion limits (Q2448706) (← links)
• Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (Q2448712) (← links)
• Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments (Q2510830) (← links)
• Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise (Q2786493) (← links)
• EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES (Q2986526) (← links)
• On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect (Q4578217) (← links)
• Spectral Estimation of Covolatility from Noisy Observations Using Local Weights (Q5413944) (← links)
• Nonparametric Bayesian volatility learning under microstructure noise (Q6176240) (← links)