Pages that link to "Item:Q5413944"
From MaRDI portal
The following pages link to Spectral Estimation of Covolatility from Noisy Observations Using Local Weights (Q5413944):
Displayed 15 items.
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
- Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (Q464183) (← links)
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (Q503579) (← links)
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Effects of jumps and small noise in high-frequency financial econometrics (Q1627808) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
- Change-point inference on volatility in noisy Itô semimartingales (Q2280017) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
- Estimation of the realized (co-)volatility vector: large deviations approach (Q2402430) (← links)
- On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect (Q4578217) (← links)
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas (Q6149866) (← links)