Pages that link to "Item:Q4534851"
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The following pages link to Diffusions with measurement errors. I. Local Asymptotic Normality (Q4534851):
Displayed 50 items.
- Estimating functions for noisy observations of ergodic diffusions (Q265660) (← 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)
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254) (← links)
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- ANOVA for diffusions and Itō processes (Q449957) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← 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)
- LAMN property for hidden processes: the case of integrated diffusions (Q731453) (← 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)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- Integrated variance forecasting: model based vs. reduced form (Q737909) (← links)
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- Bipower-type estimation in a noisy diffusion setting (Q841480) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- Efficient estimation of stable Lévy process with symmetric jumps (Q1656845) (← links)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
- Local asymptotic normality property for fractional Gaussian noise under high-frequency observations (Q1800793) (← links)
- Adaptive wavelet estimation of the diffusion coefficient under additive error measurements (Q1930660) (← links)
- Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise (Q1952081) (← links)
- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations (Q1984651) (← links)
- A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858) (← links)
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling (Q2013324) (← links)
- Adaptive estimation for degenerate diffusion processes (Q2044342) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- Statistical methodology in single-molecule experiments (Q2218022) (← links)
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise (Q2219235) (← links)
- Change-point inference on volatility in noisy Itô semimartingales (Q2280017) (← links)
- High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
- Adaptive test for ergodic diffusions plus noise (Q2317323) (← 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)
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
- On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
- Testing the characteristics of a Lévy process (Q2447654) (← links)
- Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (Q2448712) (← links)
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
- Estimation of the Hurst parameter from discrete noisy data (Q2466677) (← links)
- Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments (Q2510830) (← links)
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802) (← links)
- Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing (Q2835311) (← links)
- Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data (Q2911651) (← links)