Pages that link to "Item:Q4975343"
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The following pages link to The Estimation of Leverage Effect With High-Frequency Data (Q4975343):
Displaying 22 items.
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730) (← links)
- Testing for non-correlation between price and volatility jumps (Q515135) (← links)
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485) (← links)
- Tail behavior and dependence structure in the APARCH model (Q1695685) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
- The impact of the leverage effect on the implied volatility smile: evidence for the German option market (Q2047035) (← links)
- A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
- On the eigenvectors of large-dimensional sample spatial sign covariance matrices (Q2101471) (← links)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options (Q2239273) (← links)
- Estimation of the stochastic leverage effect using the Fourier transform method (Q2274297) (← links)
- A nonparametric test of a strong leverage hypothesis (Q2630356) (← links)
- Testing high-dimensional covariance matrices under the elliptical distribution and beyond (Q2658752) (← links)
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
- A new volatility model: GQARCH‐ItÔ model (Q5095287) (← links)
- IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (Q5880804) (← links)
- Volatility of volatility and leverage effect from options (Q6118716) (← links)
- Testing the volatility jumps based on the high frequency data (Q6134625) (← links)
- Estimation of Leverage Effect: Kernel Function and Efficiency (Q6190703) (← links)