Pages that link to "Item:Q2642802"
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The following pages link to Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802):
Displaying 35 items.
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473) (← links)
- Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
- Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246) (← links)
- The Estimation of Leverage Effect With High-Frequency Data (Q4975343) (← links)
- Estimation of Correlation Between Latent Processes (Q4976496) (← links)
- Nonparametric estimation of jump characteristics under market microstructure noise (Q4976548) (← links)
- State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (Q5030954) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- A new volatility model: GQARCH‐ItÔ model (Q5095287) (← links)
- Conditional quantile analysis for realized GARCH models (Q5095829) (← links)
- Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (Q5226150) (← links)
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
- FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (Q5403112) (← links)
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights (Q5413944) (← links)
- Modelling microstructure noise with mutually exciting point processes (Q5746743) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
- Adaptive robust large volatility matrix estimation based on high-frequency financial data (Q6090556) (← links)
- Volatility models for stylized facts of high‐frequency financial data (Q6135344) (← links)
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406) (← links)
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach (Q6190639) (← links)
- Overnight GARCH-Itô Volatility Models (Q6190733) (← links)
- Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
- Volatility analysis for the GARCH-Itô model with option data (Q6490397) (← links)
- Nonparametric estimation of quadratic variation using high-frequency data (Q6551463) (← links)
- Learning about structural errors in models of complex dynamical systems (Q6572173) (← links)
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises (Q6574582) (← links)
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns (Q6574633) (← links)
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (Q6594970) (← links)
- Volatility analysis in high-frequency financial data (Q6604425) (← links)
- Probabilistic models and statistics for electronic financial markets in the digital age (Q6618240) (← links)
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous (Q6620891) (← links)
- High-frequency-based volatility model with network structure (Q6641045) (← links)
- Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility (Q6641048) (← links)
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise (Q6654095) (← links)
