Pages that link to "Item:Q605016"

The following pages link to Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016):

Displaying 50 items.

• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
• Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
• Volatility estimation and jump detection for drift-diffusion processes (Q2190225) (← links)
• Statistical inferences for price staleness (Q2190239) (← links)
• Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise (Q2219235) (← links)
• High-frequency jump tests: which test should we use? (Q2224890) (← links)
• Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
• Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
• Asymptotic results for the Fourier estimator of the integrated quarticity (Q2292050) (← links)
• High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
• Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
• Asymptotic properties of the realized skewness and related statistics (Q2317879) (← links)
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
• Spot volatility estimation using delta sequences (Q2339119) (← links)
• A bootstrap test for jumps in financial economics (Q2343319) (← links)
• Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
• The fine structure of equity-index option dynamics (Q2347729) (← links)
• Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (Q2355172) (← links)
• Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
• Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
• Edgeworth expansion for the pre-averaging estimator (Q2408996) (← links)
• Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise (Q2412765) (← links)
• Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
• Measuring the relevance of the microstructure noise in financial data (Q2447651) (← links)
• Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (Q2448712) (← links)
• Estimating spot volatility with high-frequency financial data (Q2451790) (← links)
• The effect of intraday periodicity on realized volatility measures (Q2696331) (← links)
• Estimation of stochastic volatility models by nonparametric filtering (Q2826006) (← links)
• On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) (← links)
• Estimation of quarticity with high-frequency data (Q2873034) (← links)
• Central limit theorems for the non-parametric estimation of time-changed Lévy models (Q2911696) (← links)
• Volatility Estimation Based on High-Frequency Data (Q3112466) (← links)
• Estimation of Correlation for Continuous Semimartingales (Q3145567) (← links)
• Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise (Q3567037) (← links)
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032) (← links)
• A two-step estimation of diffusion processes using noisy observations (Q4634446) (← links)
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation (Q4636365) (← links)
• Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity (Q4638722) (← links)
• Jump robust two time scale covariance estimation and realized volatility budgets (Q4683042) (← links)
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
• Estimation of Correlation Between Latent Processes (Q4976496) (← links)
• Nonparametric estimation of jump characteristics under market microstructure noise (Q4976548) (← links)
• A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY (Q4979933) (← links)
• Detection of jumps in financial time series (Q5083982) (← links)
• Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
• Volatility Estimation and Jump Testing via Realized Information Variation (Q5237530) (← links)
• Jump detection with wavelets for high-frequency financial time series (Q5245902) (← links)
• BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE (Q5357388) (← links)
• ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
• A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA (Q5378499) (← links)