Discrete sine transform for multi-scale realized volatility measures
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A Tale of Two Time Scales
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Long memory in continuous-time stochastic volatility models
- Measuring volatility with the realized range
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Realized range-based estimation of integrated variance
- The Distribution of Realized Exchange Rate Volatility
Cited in
(12)- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Volatility estimation based on high-frequency data
- The Volatility of Realized Volatility
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
- Volatility analysis in high-frequency financial data
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
- High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times
- Estimating quadratic variation when quoted prices change by a constant increment
- Ultra high frequency volatility estimation with dependent microstructure noise
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
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