Pages that link to "Item:Q737274"
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The following pages link to Ultra high frequency volatility estimation with dependent microstructure noise (Q737274):
Displaying 39 items.
- Some limit theorems for Hawkes processes and application to financial statistics (Q2447641) (← 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)
- Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight (Q2515853) (← links)
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802) (← links)
- An unbiased measure of integrated volatility in the frequency domain (Q2789386) (← 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)
- Limit order books (Q2871425) (← links)
- An integrated cross-volatility estimation for asynchronous noisy data (Q2892937) (← links)
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS (Q2986522) (← links)
- Volatility Estimation Based on High-Frequency Data (Q3112466) (← links)
- Mixed effect models for absolute log returns of ultra high frequency data (Q3439758) (← links)
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise (Q3567037) (← links)
- On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (Q4610613) (← links)
- Forecasting market risk using ultra-high-frequency data and scaling laws (Q4619546) (← links)
- Semi-Markov Model for Market Microstructure (Q4682482) (← links)
- Jump robust two time scale covariance estimation and realized volatility budgets (Q4683042) (← links)
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について (Q5011476) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
- Modelling microstructure noise with mutually exciting point processes (Q5746743) (← links)
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
- Volatility measurement with pockets of extreme return persistence (Q6090561) (← links)
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas (Q6149866) (← links)
- Stock co-jump networks (Q6150522) (← links)
- Realized regression with asynchronous and noisy high frequency and high dimensional data (Q6150525) (← links)
- Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry (Q6158371) (← links)
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices (Q6190695) (← links)
- Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property (Q6190962) (← links)
- Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
- High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times (Q6199636) (← links)
- Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory (Q6597918) (← links)
- Volatility analysis in high-frequency financial data (Q6604425) (← links)
- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility (Q6616628) (← links)
- On Estimation of Hurst Parameter Under Noisy Observations (Q6623197) (← links)
- Empirical likelihood for high frequency data (Q6626337) (← links)
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (Q6634872) (← links)
