Pages that link to "Item:Q2469643"
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The following pages link to Are volatility estimators robust with respect to modeling assumptions? (Q2469643):
Displayed 24 items.
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- A branching particle approximation to a filtering micromovement model of asset price (Q453787) (← links)
- Testing for jumps in noisy high frequency data (Q527932) (← links)
- Integrated volatility and round-off error (Q605018) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- Estimating quadratic variation when quoted prices change by a constant increment (Q737253) (← links)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- Limit theorems for moving averages of discretized processes plus noise (Q973875) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
- Trading information, price discreteness, and volatility estimation (Q2123280) (← links)
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
- Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
- Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
- A new microstructure noise index (Q3019507) (← links)
- Risk Minimization for a Filtering Micromovement Model of Asset Price (Q3565104) (← links)
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation (Q4636365) (← links)
- VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473) (← links)
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach (Q6190639) (← links)
- Estimation of Leverage Effect: Kernel Function and Efficiency (Q6190703) (← links)