Pages that link to "Item:Q3502142"

The following pages link to Microstructure Noise, Realized Variance, and Optimal Sampling (Q3502142):

Displaying 50 items.

• Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
• Spectral analysis of quadratic variation in the presence of market microstructure noise (Q1747456) (← links)
• Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies (Q1925618) (← links)
• Long memory and nonlinearities in realized volatility: a Markov switching approach (Q1927150) (← links)
• Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise (Q1952081) (← links)
• Estimation of the lead-lag parameter from non-synchronous data (Q1952430) (← links)
• Incorporating realized quarticity into a realized stochastic volatility model (Q2011046) (← links)
• New formulations of ambiguous volatility with an application to optimal dynamic contracting (Q2067400) (← links)
• New evidence on market response to public announcements in the presence of microstructure noise (Q2076860) (← links)
• A continuous and efficient fundamental price on the discrete order book grid (Q2149276) (← links)
• Forecast the realized range-based volatility: the role of investor sentiment and regime switching (Q2161799) (← links)
• Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
• Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
• High-frequency jump tests: which test should we use? (Q2224890) (← links)
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
• Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
• Testing long memory based on a discretely observed process (Q2362937) (← links)
• Comment: A selective overview of nonparametric methods in financial econometrics (Q2381755) (← links)
• Estimation of the realized (co-)volatility vector: large deviations approach (Q2402430) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Estimation of a noisy subordinated Brownian motion via two-scales power variations (Q2408746) (← links)
• Zero-intelligence realized variance estimation. (Q2430259) (← links)
• Measuring the relevance of the microstructure noise in financial data (Q2447651) (← links)
• Are volatility estimators robust with respect to modeling assumptions? (Q2469643) (← links)
• Identifying latent factors based on high-frequency data (Q2688663) (← links)
• An unbiased measure of integrated volatility in the frequency domain (Q2789386) (← links)
• Three-point approach for estimating integrated volatility and integrated covariance (Q2879047) (← links)
• Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators (Q2893074) (← links)
• A Markov Chain Estimator of Multivariate Volatility from High Frequency Data (Q2956061) (← links)
• Sequential Monte Carlo methods for stochastic volatility models: a review (Q3008580) (← links)
• Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures (Q3018503) (← links)
• A new microstructure noise index (Q3019507) (← links)
• DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE (Q3166712) (← links)
• STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (Q3225026) (← links)
• Realized Volatility: A Review (Q3539862) (← links)
• Edgeworth Corrections for Realized Volatility (Q3539869) (← links)
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (Q3548513) (← links)
• INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES (Q3557544) (← links)
• Realized kernels in practice: trades and quotes (Q3653354) (← links)
• On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (Q4610613) (← links)
• Statistical Properties of Microstructure Noise (Q4612526) (← links)
• High-frequency volatility of volatility estimation free from spot volatility estimates (Q4619498) (← links)
• Heterogenous market hypothesis evaluation using multipower variation volatility (Q4638847) (← links)
• A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY (Q4979933) (← links)
• Normally distributed high-frequency returns: a subordination approach (Q5001138) (← links)
• Evaluation of volatility predictions in a VaR framework (Q5001165) (← links)
• Estimation of Long Memory in Integrated Variance (Q5080471) (← links)
• Forecasting with fractional Brownian motion: a financial perspective (Q5092662) (← links)
• MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX (Q5198953) (← links)
• Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (Q5226150) (← links)