Pages that link to "Item:Q5741621"
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The following pages link to ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621):
Displaying 13 items.
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (Q1751974) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
- Realized stochastic volatility with general asymmetry and long memory (Q2398614) (← links)
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
- Realized BEKK-CAW models (Q2693372) (← links)
- BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE (Q5357388) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- The impact of jumps and leverage in forecasting covolatility (Q5864641) (← links)
