IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
From MaRDI portal
Publication:5880804
Cites work
- scientific article; zbMATH DE number 5280147 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 936411 (Why is no real title available?)
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- scientific article; zbMATH DE number 3227597 (Why is no real title available?)
- A Tale of Two Time Scales
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- ANOVA for diffusions and Itō processes
- Alternative models for stock price dynamics.
- Assessment of uncertainty in high frequency data: the observed asymptotic variance
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Asymptotic inference for nearly nonstationary AR(1) processes
- Asymptotics for linear processes
- Bootstrapping Realized Volatility
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Discretization of processes.
- Do price and volatility jump together?
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient Tests for an Autoregressive Unit Root
- Efficient estimation of integrated volatility and related processes
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Exploiting the errors: a simple approach for improved volatility forecasting
- Fisher's Information for Discretely Sampled Lvy Processes
- High-frequency factor models and regressions
- How to estimate autoregressive roots near unity
- Inference for Continuous Semimartingales Observed at High Frequency
- Inference for volatility-type objects and implications for hedging
- Jumps in equilibrium prices and market microstructure noise
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
- Long memory in continuous-time stochastic volatility models
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On mixing and stability of limit theorems
- On the jump activity index for semimartingales
- Subsampling high frequency data
- Testing for jumps in a discretely observed process
- The Distribution of Realized Exchange Rate Volatility
- The econometrics of high-frequency data
- The estimation of leverage effect with high-frequency data
- The optimal linear combination of control variates in the presence of asymptotically negligible bias
- Towards a unified asymptotic theory for autoregression
- Variation, jumps and high-frequency data in financial econometrics
- Volatility estimators for discretely sampled Lévy processes
- Volatility jumps
Cited in
(2)
This page was built for publication: IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5880804)