Pages that link to "Item:Q311638"
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The following pages link to Efficient estimation of integrated volatility incorporating trading information (Q311638):
Displayed 21 items.
- Trading-flow assisted estimation of the jump activity index (Q829093) (← links)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
- Estimating the integrated volatility with tick observations (Q1739633) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise (Q2082567) (← links)
- Trading information, price discreteness, and volatility estimation (Q2123280) (← links)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- Time-Varying Periodicity in Intraday Volatility (Q5208074) (← links)
- (Q5237656) (← links)
- On the complete consistency of the kernel estimator of spot volatility (Q6053854) (← links)
- Volatility measurement with pockets of extreme return persistence (Q6090561) (← links)
- (Q6141817) (← links)
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach (Q6190639) (← links)
- Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)