Pages that link to "Item:Q744976"

The following pages link to Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976):

Displaying 11 items.

• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
• Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
• Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
• Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• Change-point inference on volatility in noisy Itô semimartingales (Q2280017) (← 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)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)