Pages that link to "Item:Q736702"
From MaRDI portal
The following pages link to Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702):
Displayed 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)
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← 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)
- 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)
- 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)
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
- Testing for jumps in noisy high frequency data (Q527932) (← links)
- Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
- On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) (← links)
- Forecasting realized volatility: a review (Q1622112) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (Q1706445) (← links)
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
- Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
- Estimating the integrated volatility with tick observations (Q1739633) (← links)
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867) (← links)
- Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
- A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858) (← links)
- A rank test for the number of factors with high-frequency data (Q2000871) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Design-free estimation of integrated covariance matrices for high-frequency data (Q2078572) (← links)
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency (Q2079627) (← links)
- Inference on common intraday periodicity at high frequencies (Q2081769) (← links)
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise (Q2082567) (← links)
- Occupation density estimation for noisy high-frequency data (Q2116333) (← links)
- Trading information, price discreteness, and volatility estimation (Q2123280) (← links)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise (Q2219235) (← links)
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
- Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
- High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← 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)