Diffusions with measurement errors. II. Optimal estimators

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Diffusions with measurement errors. I. Local Asymptotic Normality
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Cited in

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Efficient estimation of stable Lévy process with symmetric jumps
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
On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
Non-parametric estimation of the diffusion coefficient from noisy data
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
Model checks for the volatility under microstructure noise
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
Adaptive estimation for degenerate diffusion processes
Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
Dependent microstructure noise and integrated volatility estimation from high-frequency data
Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
Misspecified diffusion models with high-frequency observations and an application to neural networks
Adaptive test for ergodic diffusions plus noise
Difference based estimators and infill statistics
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
Microstructure noise in the continuous case: the pre-averaging approach
Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
Edgeworth expansion for the pre-averaging estimator
Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
Estimating functions for noisy observations of ergodic diffusions
Parameter estimation by contrast minimization for noisy observations of a diffusion process
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
Efficient estimation of integrated volatility incorporating trading information
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
scientific article; zbMATH DE number 4038966 (Why is no real title available?)
Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
Diffusions with measurement errors. I. Local Asymptotic Normality
Optimal estimation of diffusion processes hidden by general obstacles
On the asymptotic structure of Brownian motions with a small lead-lag effect
Volatility and covariation estimation when microstructure noise and trading times are endogenous
Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
Parameter identification for a stochastic logistic growth model with extinction
Inference from high-frequency data: a subsampling approach
Parametric inference for mixed models defined by stochastic differential equations
Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
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
Volatility estimation of hidden Markov processes and adaptive filtration
Volatility analysis in high-frequency financial data
Adaptive Kalman filter for systems with unknown initial values
Extended adaptive Kalman filter with low noise observations
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
Edgeworth expansions for realized volatility and related estimators
Integrated variance forecasting: model based vs. reduced form
Bipower-type estimation in a noisy diffusion setting
Bias-correcting the realized range-based variance in the presence of market microstructure noise
Limit theorems for moving averages of discretized processes plus noise

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