Pages that link to "Item:Q527932"
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The following pages link to Testing for jumps in noisy high frequency data (Q527932):
Displaying 42 items.
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Robust score and portmanteau tests of volatility spillover (Q473342) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Effects of jumps and small noise in high-frequency financial econometrics (Q1627808) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
- Testing for self-excitation in jumps (Q1706487) (← links)
- Estimating the integrated volatility with tick observations (Q1739633) (← links)
- Occupation density estimation for noisy high-frequency data (Q2116333) (← links)
- The drift burst hypothesis (Q2116347) (← links)
- Pricing foreign equity option under stochastic volatility tempered stable Lévy processes (Q2147863) (← links)
- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation (Q2163140) (← links)
- Testing for the presence of jump components in jump diffusion models (Q2172017) (← links)
- High-frequency jump tests: which test should we use? (Q2224890) (← links)
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
- Parametric inference for discretely observed subordinate diffusions (Q2417988) (← links)
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032) (← links)
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
- Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
- Bootstrapping High-Frequency Jump Tests (Q5231507) (← links)
- Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 (Q5234323) (← links)
- Volatility Estimation and Jump Testing via Realized Information Variation (Q5237530) (← links)
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- The impact of jumps and leverage in forecasting covolatility (Q5864641) (← links)
- Comment on article by Windle and Carvalho (Q5966324) (← links)
- Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
- Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
- Testing the volatility jumps based on the high frequency data (Q6134625) (← links)
- Volatility models for stylized facts of high‐frequency financial data (Q6135344) (← links)
- Stock co-jump networks (Q6150522) (← links)
- The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients (Q6191883) (← links)
- Testing for jumps with robust spot volatility estimators (Q6490929) (← links)
- Intraday Periodic Volatility Curves (Q6567911) (← links)
- Tests for Jumps in Yield Spreads (Q6626261) (← links)
- High-frequency volatility estimation and forecasting with a novel Bayesian LGI model (Q6635564) (← links)
