Pages that link to "Item:Q3632599"
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The following pages link to Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (Q3632599):
Displaying 50 items.
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805) (← links)
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930) (← links)
- Modeling and forecasting exchange rate volatility in time-frequency domain (Q322677) (← links)
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764) (← links)
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- A new wavelet-based denoising algorithm for high-frequency financial data mining (Q439431) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- On the approximate maximum likelihood estimation for diffusion processes (Q449968) (← links)
- A branching particle approximation to a filtering micromovement model of asset price (Q453787) (← links)
- The Bickel-Rosenblatt test for continuous time stochastic volatility models (Q464450) (← links)
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- Testing and detecting jumps based on a discretely observed process (Q738031) (← links)
- Functional data analysis for volatility (Q738082) (← links)
- On the jump activity index for semimartingales (Q738115) (← links)
- Forecasting realized volatility: a review (Q1622112) (← links)
- Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (Q1706445) (← links)
- Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
- Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
- Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084) (← links)
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models (Q2210240) (← links)
- Difference based estimators and infill statistics (Q2339214) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- Vast volatility matrix estimation for high-frequency financial data (Q2380093) (← links)
- Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (Q2425171) (← links)
- Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
- Testing for diffusion in a discretely observed semimartingale (Q2511575) (← links)
- Improving model performance with the integrated wavelet denoising method (Q2687882) (← links)
- Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes (Q2691644) (← links)
- Estimation of long memory in volatility using wavelets (Q2691712) (← links)
- An Unbiased Measure of Integrated Volatility in the Frequency Domain (Q2789386) (← links)
- Statistical Inference for Unified Garch-Itô Models with High-Frequency Financial Data (Q2815047) (← links)
- Identifying Jumps in Asset Prices (Q3112467) (← links)
- Risk Minimization for a Filtering Micromovement Model of Asset Price (Q3565104) (← links)
- Realized kernels in practice: trades and quotes (Q3653354) (← links)
- Forecasting and trading high frequency volatility on large indices (Q4554453) (← links)
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707) (← links)
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (Q4619499) (← links)
