Estimation of correlation for continuous semimartingales
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Publication:3145567
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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
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- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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- 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)- Statistical inference for rough volatility: central limit theorems
- Fourier transform methods for pathwise covariance estimation in the presence of jumps
- Modified martingale difference correlations
- On the asymptotic structure of Brownian motions with a small lead-lag effect
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
- Estimation of correlation between latent processes
- A mean-reverting SDE on correlation matrices
- Correlation estimation using components of Japanese candlesticks
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- A test for the rank of the volatility process: the random perturbation approach
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