Pages that link to "Item:Q3653230"
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The following pages link to Inference for Continuous Semimartingales Observed at High Frequency (Q3653230):
Displayed 50 items.
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
- Inference theory for volatility functional dependencies (Q284294) (← 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)
- Quarticity and other functionals of volatility: efficient estimation (Q366987) (← links)
- Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- On the approximate maximum likelihood estimation for diffusion processes (Q449968) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- A Gaussian calculus for inference from high frequency data (Q470517) (← links)
- Implied and realized volatility: empirical model selection (Q470518) (← links)
- Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
- Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
- Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
- Time-varying leverage effects (Q527980) (← links)
- Subsampling high frequency data (Q530605) (← 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)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies (Q744376) (← links)
- Do price and volatility jump together? (Q990387) (← links)
- Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- On the systematic and idiosyncratic volatility with large panel high-frequency data (Q1650070) (← links)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- Mixed-scale jump regressions with bootstrap inference (Q1676389) (← links)
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
- Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
- Statistical inference for the doubly stochastic self-exciting process (Q1750090) (← links)
- Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale (Q1754515) (← links)
- A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Volatility coupling (Q2054472) (← links)
- Design-free estimation of integrated covariance matrices for high-frequency data (Q2078572) (← links)
- A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
- Variation and efficiency of high-frequency betas (Q2116364) (← 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)
- Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
- The leverage effect puzzle revisited: identification in discrete time (Q2190223) (← links)
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
- Volatility estimation for stochastic PDEs using high-frequency observations (Q2309597) (← links)
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
- Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data (Q2347453) (← links)
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (Q2355172) (← links)
- Adaptive estimation of continuous-time regression models using high-frequency data (Q2398973) (← links)