Pages that link to "Item:Q1848531"

The following pages link to Fourier series method for measurement of multivariate volatilities (Q1848531):

Displaying 50 items.

• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• Consistent ranking of volatility models (Q292007) (← links)
• Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
• Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730) (← links)
• Limit theorems in the Fourier transform method for the estimation of multivariate volatility (Q544506) (← links)
• Nonsynchronous covariation process and limit theorems (Q719383) (← links)
• Second-order asymptotic expansion for a non-synchronous covariation estimator (Q720740) (← links)
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
• Quasi-likelihood analysis for nonsynchronously observed diffusion processes (Q740191) (← links)
• Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
• A filtering approach to tracking volatility from prices observed at random times (Q862222) (← links)
• Local asymptotic mixed normality property for nonsynchronously observed diffusion processes (Q888473) (← links)
• Consistent estimation of covariation under nonsynchronicity (Q946288) (← links)
• A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics (Q1000328) (← links)
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (Q1023629) (← links)
• Instantaneous liquidity rate, its econometric measurement by volatility feedback (Q1600149) (← links)
• Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
• Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis (Q1684768) (← links)
• Monte Carlo calibration to implied volatility surface under volatility models (Q1684770) (← links)
• Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
• Is volatility lognormal? Evidence from Italian futures (Q1867951) (← links)
• Irregular sampling and central limit theorems for power variations: the continuous case (Q1944677) (← links)
• Parametric estimation for discretely observed stochastic processes with jumps (Q1952110) (← links)
• Estimation of the lead-lag parameter from non-synchronous data (Q1952430) (← links)
• Quasi-likelihood analysis and its applications (Q2137733) (← links)
• Derivation formulas of noncausal finite variation processes from the stochastic Fourier coefficients (Q2174802) (← links)
• A measure of market volatility based on F-transform (Q2219374) (← links)
• Estimation of the stochastic leverage effect using the Fourier transform method (Q2274297) (← links)
• Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods (Q2288759) (← links)
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
• Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
• Asymptotic results for the Fourier estimator of the integrated quarticity (Q2292050) (← links)
• Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
• Spot volatility estimation using delta sequences (Q2339119) (← links)
• An application of nonparametric volatility estimators to option pricing (Q2343108) (← links)
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
• Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data (Q2349603) (← links)
• A direct inversion formula for SFT (Q2352335) (← links)
• A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Zero-intelligence realized variance estimation. (Q2430259) (← links)
• A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
• Empirical analysis of estimates of realized volatility in financial risk control problems (Q2508815) (← links)
• Assessing the quality of volatility estimators via option pricing (Q2509440) (← links)
• Identification of a noncausal Itô process from the stochastic Fourier coefficients (Q2637617) (← links)
• Computation of volatility in stochastic volatility models with high frequency data (Q2786036) (← links)
• An unbiased measure of integrated volatility in the frequency domain (Q2789386) (← links)
• Estimation of stochastic volatility models by nonparametric filtering (Q2826006) (← links)