Pages that link to "Item:Q2953881"
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The following pages link to Fourier-Malliavin Volatility Estimation (Q2953881):
Displaying 11 items.
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← 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)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- Estimation of the stochastic leverage effect using the Fourier transform method (Q2274297) (← links)
- Asymptotic results for the Fourier estimator of the integrated quarticity (Q2292050) (← 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)
- Signature-Based Models: Theory and Calibration (Q6048449) (← links)
