Pages that link to "Item:Q737274"
From MaRDI portal
The following pages link to Ultra high frequency volatility estimation with dependent microstructure noise (Q737274):
Displaying 50 items.
- 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)
- 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)
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254) (← links)
- Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- Stationary bootstrapping realized volatility under market microstructure noise (Q364198) (← links)
- The asymptotics of the integrated self-weighted cross volatility estimator (Q394775) (← links)
- Limit experiments of GARCH (Q408085) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- On the approximate maximum likelihood estimation for diffusion processes (Q449968) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
- Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
- International market links and volatility transmission (Q528027) (← links)
- Subsampling high frequency data (Q530605) (← links)
- Bayesian analysis of structural credit risk models with microstructure noises (Q609830) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
- Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263) (← links)
- High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
- Subsampling realised kernels (Q737277) (← links)
- Functional data analysis for volatility (Q738082) (← links)
- CAPM with fuzzy returns and hypothesis testing (Q743141) (← links)
- Econometric analysis of high frequency data (Q862781) (← links)
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously (Q961439) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
- Extended stochastic volatility models incorporating realised measures (Q1623565) (← links)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← links)
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← 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)
- 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)
- Adaptive wavelet estimation of the diffusion coefficient under additive error measurements (Q1930660) (← links)
- A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models (Q2210240) (← links)
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
- High frequency trading strategies, market fragility and price spikes: an agent based model perspective (Q2288938) (← links)
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
- High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
- Difference based estimators and infill statistics (Q2339214) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
- Zero-intelligence realized variance estimation. (Q2430259) (← links)
