Estimation of correlation for continuous semimartingales
From MaRDI portal
Recommendations
- Estimation of correlation between latent processes
- Confidence interval for correlation estimator between latent processes
- Inference for Continuous Semimartingales Observed at High Frequency
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
Cites work
- scientific article; zbMATH DE number 3153624 (Why is no real title available?)
- A Tale of Two Time Scales
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Estimation of the Brownian dimension of a continuous Itô process
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Limit theorems for moving averages of discretized processes plus noise
- Limit theorems for multipower variation in the presence of jumps
- Microstructure noise in the continuous case: the pre-averaging approach
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- On covariance estimation of non-synchronously observed diffusion processes
- Power Variation and Time Change
- Special issue: Computational finance
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Stochastic volatility and stochastic leverage
- Stock price distributions with stochastic volatility: an analytic approach
- Testing for jumps in a discretely observed process
- Testing the local volatility assumption: a statistical approach
- The dynamics of stochastic volatility: evidence from underlying and options markets
- The pricing of options on assets with stochastic volatilities
Cited in
(11)- Correlation estimation using components of Japanese candlesticks
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- Modified martingale difference correlations
- On the asymptotic structure of Brownian motions with a small lead-lag effect
- Statistical inference for rough volatility: central limit theorems
- A test for the rank of the volatility process: the random perturbation approach
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- A mean-reverting SDE on correlation matrices
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- Estimation of correlation between latent processes
This page was built for publication: Estimation of correlation for continuous semimartingales
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3145567)
