The following pages link to (Q5493536):
Displaying 50 items.
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) (← links)
- Realized range-based estimation of integrated variance (Q289157) (← links)
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach (Q291102) (← links)
- Risk, jumps, and diversification (Q292155) (← links)
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
- Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
- Estimation for stochastic damping Hamiltonian systems under partial observation. III: Diffusion term (Q303958) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
- On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
- Estimation of the instantaneous volatility (Q411549) (← links)
- Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730) (← links)
- Testing the local volatility assumption: a statistical approach (Q470421) (← links)
- Assessing relative volatility/ intermittency/energy dissipation (Q470490) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- Limit theorems for nondegenerate \(U\)-statistics of continuous semimartingales (Q473167) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
- Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
- Bootstrapping realized multivariate volatility measures (Q528117) (← links)
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202) (← links)
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
- Stationary infinitely divisible processes (Q642197) (← links)
- Multipower variation for Brownian semistationary processes (Q654402) (← links)
- Large deviations of realized volatility (Q665439) (← links)
- On discrete time hedging errors in a fractional Black-Scholes model (Q681037) (← links)
- Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- A universal approach to estimate the conditional variance in semimartingale limit theorems (Q825055) (← links)
- Bipower-type estimation in a noisy diffusion setting (Q841480) (← links)
- Power variation of some integral fractional processes (Q850768) (← links)
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485) (← links)
- Variation-based tests for volatility misspecification (Q898596) (← links)
- A note on the central limit theorem for bipower variation of general functions (Q927926) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- Limit theorems for moving averages of discretized processes plus noise (Q973875) (← links)
- Realized volatility with stochastic sampling (Q981001) (← links)
- Real-time estimation scheme for the spot cross volatility of jump diffusion processes (Q982924) (← links)
- Testing for jumps in a discretely observed process (Q1002155) (← links)
- Estimation of the Brownian dimension of a continuous Itô process (Q1002566) (← links)
- Power variation for Gaussian processes with stationary increments (Q1019612) (← links)
- Asymptotic analysis of hedging errors in models with jumps (Q1019621) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- On limit theory for Lévy semi-stationary processes (Q1708996) (← links)
