Pages that link to "Item:Q2447651"
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The following pages link to Measuring the relevance of the microstructure noise in financial data (Q2447651):
Displaying 8 items.
- A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities (Q500498) (← 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)
- On estimating market microstructure noise variance (Q1672752) (← links)
- Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
- Truncated realized covariance when prices have infinite variation jumps (Q2359710) (← links)
- Microstructure Noise, Realized Variance, and Optimal Sampling (Q3502142) (← links)
- A new method to estimate the noise in financial correlation matrices (Q4443882) (← links)