Estimation of correlation between latent processes
From MaRDI portal
Recommendations
Cites work
- A Fourier transform method for nonparametric estimation of multivariate volatility
- A Gaussian calculus for inference from high frequency data
- A mathematical approach to order book modeling
- A stochastic model for order book dynamics
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
- Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise
- Efficient covariance estimation for asynchronous noisy high-frequency data
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimation of the lead-lag parameter from non-synchronous data
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Fourier series method for measurement of multivariate volatilities
- scientific article; zbMATH DE number 1639859 (Why is no real title available?)
- scientific article; zbMATH DE number 1724296 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 1047469 (Why is no real title available?)
- Hyperbolic distributions in finance
- Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling
- Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
- Long-time behavior of a Hawkes process-based limit order book
- Microstructure noise in the continuous case: the pre-averaging approach
- Modelling microstructure noise with mutually exciting point processes
- Modelling security market events in continuous time: intensity based, multivariate point process models
- Nonsynchronous covariation process and limit theorems
- On covariance estimation of non-synchronously observed diffusion processes
- Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Cited in
(4)
This page was built for publication: Estimation of correlation between latent processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4976496)
