The following pages link to Subsampling realised kernels (Q737277):
Displaying 17 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)
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
- On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
- Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
- Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (Q1023629) (← links)
- On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
- Assessing the quality of volatility estimators via option pricing (Q2509440) (← links)
- An Unbiased Measure of Integrated Volatility in the Frequency Domain (Q2789386) (← links)
- A Markov Chain Estimator of Multivariate Volatility from High Frequency Data (Q2956061) (← links)
- Volatility Estimation Based on High-Frequency Data (Q3112466) (← links)
- Realized Volatility: A Review (Q3539862) (← links)
- Firm’s Volatility Risk Under Microstructure Noise (Q4561900) (← links)
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473) (← links)
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
- (Q5879918) (← links)
- Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects (Q6090566) (← links)
