The following pages link to A Tale of Two Time Scales (Q5754906):
Displaying 50 items.
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805) (← links)
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- Estimating functions for noisy observations of ergodic diffusions (Q265660) (← links)
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
- Measuring volatility with the realized range (Q277164) (← 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)
- Realized range-based estimation of integrated variance (Q289157) (← links)
- Consistent ranking of volatility models (Q292007) (← links)
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Realized volatility forecasting and option pricing (Q299252) (← links)
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
- Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data (Q302180) (← links)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
- Estimating the structural credit risk model when equity prices are contaminated by trading noises (Q302203) (← links)
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Robust inference of risks of large portfolios (Q308377) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- Modeling and forecasting exchange rate volatility in time-frequency domain (Q322677) (← links)
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
- Filtering with marked point process observations via Poisson chaos expansion (Q360366) (← links)
- Stationary bootstrapping realized volatility under market microstructure noise (Q364198) (← links)
- Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
- Maximum likelihood estimation for small noise multiscale diffusions (Q376710) (← links)
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764) (← links)
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- Modelling and forecasting noisy realized volatility (Q429642) (← links)
- Updating toward the signal (Q447541) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- ANOVA for diffusions and Itō processes (Q449957) (← links)
- A branching particle approximation to a filtering micromovement model of asset price (Q453787) (← links)
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- A Gaussian calculus for inference from high frequency data (Q470517) (← links)
- Implied and realized volatility: empirical model selection (Q470518) (← links)
- Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions (Q476746) (← links)
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
- A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities (Q500498) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- The lifetime of a financial bubble (Q506379) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
