Pages that link to "Item:Q2642802"
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The following pages link to Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802):
Displayed 50 items.
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805) (← links)
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- 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)
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← 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)
- Realized volatility forecasting and option pricing (Q299252) (← links)
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254) (← links)
- Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
- Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data (Q302180) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930) (← links)
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764) (← links)
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
- Optimal sampling frequency for high frequency data using a finite mixture model (Q397209) (← links)
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- ANOVA for diffusions and Itō processes (Q449957) (← links)
- Implied and realized volatility: empirical model selection (Q470518) (← links)
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← 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)
- International market links and volatility transmission (Q528027) (← links)
- Subsampling high frequency data (Q530605) (← links)
- Data-based ranking of realised volatility estimators (Q530606) (← links)
- Asymptotic equivalence for inference on the volatility from noisy observations (Q548535) (← links)
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
- Integrated volatility and round-off error (Q605018) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← 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)
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273) (← links)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
- Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)