Pages that link to "Item:Q2343752"

The following pages link to Econometrics of co-jumps in high-frequency data with noise (Q2343752):

Displaying 20 items.

• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
• Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
• Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
• Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment (Q1657604) (← links)
• Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
• Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
• Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
• Testing for simultaneous jumps in case of asynchronous observations (Q1750093) (← links)
• Laws of large numbers for Hayashi-Yoshida-type functionals (Q1999591) (← links)
• Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps (Q2097471) (← links)
• Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data (Q2209820) (← links)
• Jump filtering and efficient drift estimation for Lévy-driven SDEs (Q2413596) (← links)
• On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
• Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation (Q6160980) (← links)
• Generalized Jump Regressions for Local Moments (Q6617820) (← links)
• Systematic jump risk (Q6620071) (← links)
• Tests for Jumps in Yield Spreads (Q6626261) (← links)
• Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (Q6634872) (← links)