Pages that link to "Item:Q1672752"
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The following pages link to On estimating market microstructure noise variance (Q1672752):
Displaying 18 items.
- Stationary bootstrapping realized volatility under market microstructure noise (Q364198) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Subsampling high frequency data (Q530605) (← links)
- The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise (Q543441) (← links)
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273) (← links)
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- Spectral analysis of quadratic variation in the presence of market microstructure noise (Q1747456) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
- Estimation of a noisy subordinated Brownian motion via two-scales power variations (Q2408746) (← links)
- The effect of external noise on the dynamics of speculative markets (Q2764610) (← links)
- Faster Convergence to the Estimation of Quadratic Variation with Microstructure Noise (Q2792279) (← links)
- Microstructure Noise, Realized Variance, and Optimal Sampling (Q3502142) (← links)
- On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (Q4610613) (← links)
- Market Microstructure Invariance: Empirical Hypotheses (Q4613426) (← links)
- Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)