Pages that link to "Item:Q605018"

The following pages link to Integrated volatility and round-off error (Q605018):

Displaying 16 items.

• Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
• Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
• Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
• The effect of round-off error on long memory processes (Q905390) (← links)
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
• Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
• Expectiles for subordinated Gaussian processes with applications (Q1950818) (← links)
• Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise (Q1952081) (← links)
• Estimation of the lead-lag parameter from non-synchronous data (Q1952430) (← links)
• The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling (Q2013324) (← links)
• Trading information, price discreteness, and volatility estimation (Q2123280) (← links)
• Integer-valued Lévy processes and low latency financial econometrics (Q2873033) (← links)
• A new microstructure noise index (Q3019507) (← links)
• On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect (Q4578217) (← links)
• VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)
• Volatility Estimation and Jump Testing via Realized Information Variation (Q5237530) (← links)