Inference for calendar effects in microstructure noise
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Cites work
- A ReMeDI for microstructure noise
- A Tale of Two Time Scales
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Estimating the integrated volatility with tick observations
- Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
- Functional Variance Processes
- High-frequency covariance estimates with noisy and asynchronous financial data
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Microstructure noise in the continuous case: the pre-averaging approach
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
- On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Statistical Properties of Microstructure Noise
- The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
- Time-varying periodicity in intraday volatility
- Unbiased determination of production technologies
- When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
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