Pages that link to "Item:Q888485"

The following pages link to Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485):

Displaying 16 items.

• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485) (← links)
• Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
• A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
• Large deviation principles of realized Laplace transform of volatility (Q2116475) (← links)
• Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
• Time-invariant restrictions of volatility functionals: efficient estimation and specification tests (Q2182138) (← links)
• Optimal kernel estimation of spot volatility of stochastic differential equations (Q2186644) (← links)
• Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options (Q2239273) (← links)
• High-frequency volatility of volatility estimation free from spot volatility estimates (Q4619498) (← links)
• A nonparametric specification test for the volatility functions of diffusion processes (Q5860932) (← links)
• IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (Q5880804) (← links)
• Inference on the maximal rank of time-varying covariance matrices using high-frequency data (Q6117051) (← links)
• Volatility of volatility and leverage effect from options (Q6118716) (← links)
• Testing the volatility jumps based on the high frequency data (Q6134625) (← links)