Pages that link to "Item:Q973875"

The following pages link to Limit theorems for moving averages of discretized processes plus noise (Q973875):

Displaying 43 items.

• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← 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)
• On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
• Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
• Estimation of the instantaneous volatility (Q411549) (← links)
• Limit theorems for nondegenerate \(U\)-statistics of continuous semimartingales (Q473167) (← 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)
• New tests for jumps in semimartingale models (Q625314) (← links)
• Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
• A universal approach to estimate the conditional variance in semimartingale limit theorems (Q825055) (← links)
• Bipower-type estimation in a noisy diffusion setting (Q841480) (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← 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)
• Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
• Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise (Q1952081) (← links)
• Laws of large numbers for Hayashi-Yoshida-type functionals (Q1999591) (← 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)
• Occupation density estimation for noisy high-frequency data (Q2116333) (← links)
• Testing for the presence of jump components in jump diffusion models (Q2172017) (← links)
• Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
• High-frequency analysis of parabolic stochastic PDEs (Q2196213) (← links)
• Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← 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)
• The fine structure of equity-index option dynamics (Q2347729) (← links)
• Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
• Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (Q2355172) (← links)
• Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Limit theorems for bipower variation of semimartingales (Q2654158) (← links)
• On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) (← links)
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
• Estimation of Correlation for Continuous Semimartingales (Q3145567) (← links)
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
• Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
• Optimal estimation of the rough Hurst parameter in additive noise (Q6123285) (← links)