Pages that link to "Item:Q605016"
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The following pages link to Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016):
Displaying 16 items.
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← 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)
- Near-optimal estimation of jump activity in semimartingales (Q5963516) (← links)
- On the complete consistency of the kernel estimator of spot volatility (Q6053854) (← links)
- (Q6114224) (← links)
- On the convergence of two types of estimators of quadratic variation (Q6182335) (← links)
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach (Q6190639) (← links)
- Testing for jumps with robust spot volatility estimators (Q6490929) (← links)
- Nonparametric estimation of quadratic variation using high-frequency data (Q6551463) (← links)
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises (Q6574582) (← links)
- Heteroscedasticity test of high-frequency data with jumps and market microstructure noise (Q6580713) (← links)
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (Q6594970) (← links)
- On Estimation of Hurst Parameter Under Noisy Observations (Q6623197) (← links)
- Tests for Jumps in Yield Spreads (Q6626261) (← links)
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise (Q6654095) (← links)
