Pages that link to "Item:Q605016"

The following pages link to Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016):

Displaying 50 items.

• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
• A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764) (← links)
• On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
• Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
• Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
• Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730) (← links)
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
• Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
• Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
• Limit theorems in the Fourier transform method for the estimation of multivariate volatility (Q544506) (← links)
• Asymptotic equivalence for inference on the volatility from noisy observations (Q548535) (← links)
• New tests for jumps in semimartingale models (Q625314) (← links)
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
• Realised quantile-based estimation of the integrated variance (Q736690) (← links)
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
• Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
• Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
• Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
• Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
• Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
• Bipower-type estimation in a noisy diffusion setting (Q841480) (← links)
• A note on the central limit theorem for bipower variation of general functions (Q927926) (← links)
• Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
• Limit theorems for moving averages of discretized processes plus noise (Q973875) (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
• Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← links)
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
• Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
• Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (Q1751974) (← links)
• Testing for jumps and jump intensity path dependence (Q1753059) (← links)
• Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale (Q1754515) (← 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)
• Adaptive wavelet estimation of the diffusion coefficient under additive error measurements (Q1930660) (← links)
• Model checks for the volatility under microstructure noise (Q1932237) (← links)
• Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise (Q1952081) (← links)
• Parametric estimation for discretely observed stochastic processes with jumps (Q1952110) (← links)
• Hybrid estimation for ergodic diffusion processes based on noisy discrete observations (Q1984651) (← links)
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)