Pages that link to "Item:Q2642802"

The following pages link to Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802):

Displaying 50 items.

• Spot volatility estimation using delta sequences (Q2339119) (← links)
• Difference based estimators and infill statistics (Q2339214) (← links)
• Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
• Testing for pure-jump processes for high-frequency data (Q2343966) (← links)
• Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
• Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
• Vast volatility matrix estimation for high-frequency financial data (Q2380093) (← links)
• A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987) (← 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)
• On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
• Edgeworth expansion for the pre-averaging estimator (Q2408996) (← links)
• Zero-intelligence realized variance estimation. (Q2430259) (← links)
• Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
• Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (Q2448712) (← links)
• One approach to the problem of nonparametric estimation in statistics of random processes based on the method of ill-posed problem (Q2451255) (← links)
• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
• Estimating spot volatility with high-frequency financial data (Q2451790) (← links)
• Efficient estimation of drift parameters in stochastic volatility models (Q2463719) (← links)
• Are volatility estimators robust with respect to modeling assumptions? (Q2469643) (← links)
• The observed asymptotic variance: hard edges, and a regression approach (Q2658793) (← links)
• Flexible HAR model for realized volatility (Q2697034) (← links)
• An unbiased measure of integrated volatility in the frequency domain (Q2789386) (← links)
• Statistical inference for unified Garch-Itô models with high-frequency financial data (Q2815047) (← links)
• Inference for multi-dimensional high-frequency data with an application to conditional independence testing (Q2835311) (← links)
• On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) (← links)
• Bridge homogeneous volatility estimators (Q2879014) (← links)
• Discrete sine transform for multi-scale realized volatility measures (Q2893209) (← links)
• Fourier volatility forecasting with high-frequency data and microstructure noise (Q2893211) (← links)
• Efficient covariance estimation for asynchronous noisy high-frequency data (Q2911651) (← links)
• The double Gaussian approximation for high frequency data (Q2911663) (← links)
• A Markov Chain Estimator of Multivariate Volatility from High Frequency Data (Q2956061) (← links)
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← 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)
• Volatility Estimation Based on High-Frequency Data (Q3112466) (← links)
• REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) (← links)
• Realized Volatility: A Review (Q3539862) (← links)
• Moving Average-Based Estimators of Integrated Variance (Q3539864) (← links)
• Edgeworth Corrections for Realized Volatility (Q3539869) (← links)
• Realized kernels in practice: trades and quotes (Q3653354) (← links)
• Determining the integrated volatility via limit order books with multiple records (Q4555173) (← links)
• Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707) (← links)
• Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data (Q4569339) (← 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)
• News, volatility and jumps: the case of natural gas futures (Q4683076) (← links)
• Estimating the instantaneous volatility and covariance of risky assets (Q4842350) (← links)
• VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)