Pages that link to "Item:Q3548513"

The following pages link to Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (Q3548513):

Displaying 50 items.

• New tests for jumps in semimartingale models (Q625314) (← links)
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
• Large deviations of realized volatility (Q665439) (← links)
• Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
• Realised quantile-based estimation of the integrated variance (Q736690) (← links)
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
• Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
• Estimating quadratic variation when quoted prices change by a constant increment (Q737253) (← links)
• Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise (Q737261) (← links)
• Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263) (← links)
• Forecasting multivariate realized stock market volatility (Q737267) (← links)
• High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
• Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273) (← links)
• Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
• Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
• Subsampling realised kernels (Q737277) (← links)
• Realized volatility forecasting and market microstructure noise (Q737278) (← links)
• Causality effects in return volatility measures with random times (Q737283) (← links)
• Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
• Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
• Realized volatility of index constituent stocks in Hong Kong (Q834300) (← links)
• Bipower-type estimation in a noisy diffusion setting (Q841480) (← links)
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
• Parametric estimation from approximate data: non-Gaussian diffusions (Q906937) (← links)
• A note on the central limit theorem for bipower variation of general functions (Q927926) (← links)
• Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
• Limit theorems for moving averages of discretized processes plus noise (Q973875) (← links)
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (Q1023629) (← links)
• On a spiked model for large volatility matrix estimation from noisy high-frequency data (Q1615279) (← links)
• Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative (Q1621997) (← links)
• Forecasting realized volatility: a review (Q1622112) (← links)
• Nonparametric kernel density estimation near the boundary (Q1623386) (← links)
• Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
• Extended stochastic volatility models incorporating realised measures (Q1623565) (← links)
• Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
• On the systematic and idiosyncratic volatility with large panel high-frequency data (Q1650070) (← links)
• Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
• Horizon effect in the term structure of long-run risk-return trade-offs (Q1659133) (← links)
• Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
• On estimating market microstructure noise variance (Q1672752) (← links)
• Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data (Q1706445) (← links)
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
• Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
• Efficient estimation of integrated volatility functionals via multiscale jackknife (Q1731750) (← links)
• Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
• Estimating the integrated volatility with tick observations (Q1739633) (← links)