Diffusions with measurement errors. II. Optimal estimators

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Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
Volatility estimation of hidden Markov processes and adaptive filtration
Estimating functions for noisy observations of ergodic diffusions
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
Edgeworth expansion for the pre-averaging estimator
Realised quantile-based estimation of the integrated variance
Adaptive test for ergodic diffusions plus noise
Asymptotic equivalence for inference on the volatility from noisy observations
The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
Modelling microstructure noise with mutually exciting point processes
On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
Difference based estimators and infill statistics
Model checks for the volatility under microstructure noise
Efficient estimation of stable Lévy process with symmetric jumps
Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise
On the asymptotic structure of Brownian motions with a small lead-lag effect
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Misspecified diffusion models with high-frequency observations and an application to neural networks
Bipower-type estimation in a noisy diffusion setting
Parameter identification for a stochastic logistic growth model with extinction
Microstructure noise in the continuous case: the pre-averaging approach
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Limit theorems for moving averages of discretized processes plus noise
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
Non-parametric estimation of the diffusion coefficient from noisy data
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Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
Edgeworth expansions for realized volatility and related estimators
Integrated variance forecasting: model based vs. reduced form
Efficient estimation of integrated volatility incorporating trading information
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Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
Volatility and covariation estimation when microstructure noise and trading times are endogenous
Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
Adaptive Kalman filter for systems with unknown initial values
Parameter estimation by contrast minimization for noisy observations of a diffusion process
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
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Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
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Parametric inference for mixed models defined by stochastic differential equations
Diffusions with measurement errors. I. Local Asymptotic Normality
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS

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