Pages that link to "Item:Q1023629"
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The following pages link to Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (Q1023629):
Displaying 40 items.
- Limit theorems in the Fourier transform method for the estimation of multivariate volatility (Q544506) (← links)
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273) (← links)
- Functional data analysis for volatility (Q738082) (← links)
- Implied volatility in oil markets (Q961396) (← links)
- Editorial: Special issue on statistical and computational methods in finance (Q1023614) (← links)
- Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
- Structured volatility matrix estimation for non-synchronized high-frequency financial data (Q1740273) (← links)
- Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data (Q1750098) (← links)
- Parametric estimation for discretely observed stochastic processes with jumps (Q1952110) (← links)
- Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← 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)
- Asymptotic results for the Fourier estimator of the integrated quarticity (Q2292050) (← links)
- Spot volatility estimation using delta sequences (Q2339119) (← links)
- Vast volatility matrix estimation for high-frequency financial data (Q2380093) (← 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)
- Assessing the quality of volatility estimators via option pricing (Q2509440) (← links)
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (Q2691676) (← 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 quarticity with high-frequency data (Q2873034) (← links)
- Discrete sine transform for multi-scale realized volatility measures (Q2893209) (← links)
- Fourier volatility forecasting with high-frequency data and microstructure noise (Q2893211) (← links)
- A central limit theorem for the functional estimation of the spot volatility (Q3405601) (← links)
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise (Q3567037) (← links)
- Firm’s Volatility Risk Under Microstructure Noise (Q4561900) (← links)
- High-frequency volatility of volatility estimation free from spot volatility estimates (Q4619498) (← links)
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (Q4619499) (← links)
- Complex correlation approach for high frequency financial data (Q4964483) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? (Q5086397) (← links)
- A new robust Kalman filter for filtering the microstructure noise (Q5351738) (← links)
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406) (← links)
- The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes (Q6580717) (← links)
- Volatility analysis in high-frequency financial data (Q6604425) (← links)
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous (Q6620891) (← links)
- The SIML method without microstructure noise (Q6670081) (← links)
