Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
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Cites work
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- Microstructure noise in the continuous case: the pre-averaging approach
- Modeling and Forecasting Realized Volatility
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Cited in
(19)- Asymptotic equivalence for inference on the volatility from noisy observations
- Faster convergence to the estimation of quadratic variation with microstructure noise
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Model checks for the volatility under microstructure noise
- Microstructure noise in the continuous case: the pre-averaging approach
- Rate efficient estimation of realized Laplace transform of volatility with microstructure noise
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Adaptive estimation of continuous-time regression models using high-frequency data
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
- Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
- Common price and volatility jumps in noisy high-frequency data
- Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators
- On Estimation of Hurst Parameter Under Noisy Observations
- Estimation of volatility in a high-frequency setting: a short review
- Central limit theorems for discretized occupation time functionals
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE
- Optimal estimation of the rough Hurst parameter in additive noise
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