Realized drift
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Cites work
- A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
- A ReMeDI for microstructure noise
- Asymptotically optimal difference-based estimation of variance in nonparametric regression
- Bandwidth choice for nonparametric regression
- Bartlett's formula for a general class of nonlinear processes
- Bubble testing under polynomial trends
- Dating the timeline of financial bubbles during the subprime crisis
- Detecting Dependencies in Smooth Regression Models
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
- Exploiting the errors: a simple approach for improved volatility forecasting
- Financial bubble implosion and reverse regression
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- Jump-robust volatility estimation using nearest neighbor truncation
- Limit theorems for multipower variation in the presence of jumps
- Local mispricing and microstructural noise: a parametric perspective
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Measuring downside risk -- realized semivariance
- Microstructure noise in the continuous case: the pre-averaging approach
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Realized semicovariances
- Realized volatility when sampling times are possibly endogenous
- Statistical Properties of Microstructure Noise
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- Testing for multiple bubbles: limit theory of real-time detectors
- Testing for self-excitation in jumps
- The drift burst hypothesis
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The Mean Square Successive Difference
- The Model Confidence Set
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Unit root test with high-frequency data
- Volatility estimation and jump detection for drift-diffusion processes
- Volatility measurement with pockets of extreme return persistence
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