Pages that link to "Item:Q2447650"

The following pages link to Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650):

Displaying 16 items.

• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• 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)
• Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← 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)
• 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)
• Specification test for Markov models with measurement errors (Q2252889) (← links)
• Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
• Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing (Q2835311) (← links)
• Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity (Q4638722) (← links)
• ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
• Disentangling Sources of High Frequency Market Microstructure Noise (Q6617733) (← links)
• Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous (Q6620891) (← links)
• Empirical likelihood for high frequency data (Q6626337) (← links)