Diffusions with measurement errors. I. Local Asymptotic Normality
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- Diffusions with measurement errors. II. Optimal estimators
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Cited in
(72)- Efficient estimation of stable Lévy process with symmetric jumps
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
- Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
- Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
- Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
- A Hausman test for the presence of market microstructure noise in high frequency data
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
- Adaptive estimation for degenerate diffusion processes
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- Statistical methodology in single-molecule experiments
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
- Change-point inference on volatility in noisy Itô semimartingales
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Adaptive test for ergodic diffusions plus noise
- Econometrics of co-jumps in high-frequency data with noise
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- On high frequency estimation of the frictionless price: the use of observed liquidity variables
- Testing the characteristics of a Lévy process
- Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
- Estimation of the Hurst parameter from discrete noisy data
- Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimating functions for noisy observations of ergodic diffusions
- Inference for multi-dimensional high-frequency data with an application to conditional independence testing
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Efficient covariance estimation for asynchronous noisy high-frequency data
- High frequency trading and asymptotics for small risk aversion in a Markov renewal model
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- A new microstructure noise index
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- scientific article; zbMATH DE number 2015376 (Why is no real title available?)
- ANOVA for diffusions and Itō processes
- Diffusions with measurement errors. II. Optimal estimators
- On the asymptotic structure of Brownian motions with a small lead-lag effect
- Semi-Markov model for market microstructure
- Volatility and covariation estimation when microstructure noise and trading times are endogenous
- Robust covariance estimation with noisy high-frequency financial data
- Inference from high-frequency data: a subsampling approach
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- Time endogeneity and an optimal weight function in pre-averaging covariance estimation
- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
- Fast convergence rates in estimating large volatility matrices using high-frequency financial data
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
- Asymptotic equivalence for inference on the volatility from noisy observations
- Modelling microstructure noise with mutually exciting point processes
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Integrated volatility and round-off error
- Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions
- Volatility estimation of hidden Markov processes and adaptive filtration
- Volatility analysis in high-frequency financial data
- Probabilistic models and statistics for electronic financial markets in the digital age
- Local Parametric Estimation in High Frequency Data
- Testing for jumps in a discretely observed price process with endogenous sampling times
- Adaptive Kalman filter for systems with unknown initial values
- Integrated volatility estimation: the case of observed noise variables
- LAMN property for hidden processes: the case of integrated diffusions
- Realised quantile-based estimation of the integrated variance
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Ultra high frequency volatility estimation with dependent microstructure noise
- Integrated variance forecasting: model based vs. reduced form
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
- Detecting factors of quadratic variation in the presence of market microstructure noise
- Bipower-type estimation in a noisy diffusion setting
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
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