Pages that link to "Item:Q2388987"

The following pages link to A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987):

Displaying 46 items.

• Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term (Q303958) (← links)
• Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
• Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730) (← links)
• Limit theorems in the Fourier transform method for the estimation of multivariate volatility (Q544506) (← links)
• Functional data analysis for volatility (Q738082) (← links)
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient (Q783274) (← links)
• Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (Q1023629) (← links)
• Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
• Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis (Q1684768) (← links)
• Monte Carlo calibration to implied volatility surface under volatility models (Q1684770) (← links)
• Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
• Parametric estimation for discretely observed stochastic processes with jumps (Q1952110) (← links)
• Nonparametric estimation of jump diffusion models (Q2024442) (← links)
• Local SIML estimation of some Brownian and jump functionals under market micro-structure noise (Q2103295) (← links)
• Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
• Estimation of the stochastic leverage effect using the Fourier transform method (Q2274297) (← links)
• Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods (Q2288759) (← links)
• Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
• Asymptotic results for the Fourier estimator of the integrated quarticity (Q2292050) (← links)
• Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
• Spot volatility estimation using delta sequences (Q2339119) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• On the data-driven COS method (Q2422825) (← links)
• Zero-intelligence realized variance estimation. (Q2430259) (← links)
• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
• COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA (Q2786036) (← links)
• An Unbiased Measure of Integrated Volatility in the Frequency Domain (Q2789386) (← links)
• ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING (Q2826006) (← links)
• Estimation of quarticity with high-frequency data (Q2873034) (← links)
• An integrated cross-volatility estimation for asynchronous noisy data (Q2892937) (← links)
• High-frequency volatility of volatility estimation free from spot volatility estimates (Q4619498) (← links)
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
• Estimation of Correlation Between Latent Processes (Q4976496) (← links)
• VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS (Q4979882) (← links)
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
• On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? (Q5086397) (← links)
• Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms (Q5146684) (← links)
• (Q5237656) (← links)
• Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation (Q5326120) (← links)
• An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636) (← links)
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
• Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
• Copula estimation for nonsynchronous financial data (Q6108882) (← links)
• Asymptotically efficient estimation for diffusion processes with nonsynchronous observations (Q6176239) (← links)