Realised quantile-based estimation of the integrated variance
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Cited in
(35)- A Gaussian calculus for inference from high frequency data
- Jumps beyond the realms of cricket: India's performance in one day internationals and stock market movements
- Volatility estimation based on high-frequency data
- Realised quantile-based estimation of the integrated variance
- Jump robust daily covariance estimation by disentangling variance and correlation components
- Realised volatility and parametric estimation of Heston SDEs
- Realized range-based estimation of integrated variance
- The benefits of bagging for forecast models of realized volatility
- Subsampling high frequency data
- scientific article; zbMATH DE number 5198657 (Why is no real title available?)
- The effect of infrequent trading on detecting price jumps
- Volatility estimation and jump testing via realized information variation
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
- Measuring the relevance of the microstructure noise in financial data
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- Jump robust two time scale covariance estimation and realized volatility budgets
- \({L_p}\) quantile regression with realized measure
- Testing for jumps with robust spot volatility estimators
- A robust neighborhood truncation approach to estimation of integrated quarticity
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