Empirical likelihood for high frequency data
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Tale of Two Time Scales
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Asymptotically uniformly most powerful tests in parametric and semiparametric models
- Bayesian exponentially tilted empirical likelihood
- Bootstrapping high-frequency jump tests
- Bootstrapping pre-averaged realized volatility under market microstructure noise
- Bootstrapping realized multivariate volatility measures
- Bootstrapping Realized Volatility
- Box-Cox transforms for realized volatility
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data
- 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
- Edgeworth Corrections for Realized Volatility
- Edgeworth expansion for functionals of continuous diffusion processes
- Edgeworth expansions for realized volatility and related estimators
- Efficient estimation of integrated volatility and related processes
- Empirical likelihood
- Empirical likelihood as a goodness-of-fit measure
- Empirical likelihood is Bartlett-correctable
- Empirical likelihood methods with weakly dependent processes
- Empirical likelihood ratio confidence intervals for a single functional
- Estimating the degree of activity of jumps in high frequency data
- Extending the scope of empirical likelihood
- scientific article; zbMATH DE number 3911472 (Why is no real title available?)
- scientific article; zbMATH DE number 5198657 (Why is no real title available?)
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- Inference for Continuous Semimartingales Observed at High Frequency
- Jump-robust volatility estimation using nearest neighbor truncation
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Limit theorems for multipower variation in the presence of jumps
- Methodology and Algorithms of Empirical Likelihood
- Microstructure noise in the continuous case: the pre-averaging approach
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Point estimation with exponentially tilted empirical likelihood
- Quarticity and other functionals of volatility: efficient estimation
- Testing for jumps in a discretely observed process
- Ultra high frequency volatility estimation with dependent microstructure noise
- Validity of Edgeworth expansions for realized volatility estimators
- Volatility inference in the presence of both endogenous time and microstructure noise
Cited in
(4)- Empirical likelihood for quantiles under strong mixing high-frequency data
- Empirical likelihood for nonparametric regression functions under -mixing high-frequency data
- Empirical likelihood test for the mean with inequality constraints under strong mixing high-frequency data
- Joint empirical likelihood confidence regions for a finite number of quantiles under strong mixing high-frequency data
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