Pages that link to "Item:Q2864828"
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The following pages link to Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method (Q2864828):
Displaying 15 items.
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- A martingale decomposition of discrete Markov chains (Q529765) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Mixed-scale jump regressions with bootstrap inference (Q1676389) (← links)
- Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models (Q2013803) (← links)
- Occupation density estimation for noisy high-frequency data (Q2116333) (← links)
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
- Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
- Determining the integrated volatility via limit order books with multiple records (Q4555173) (← links)
- Nonparametric estimation of jump characteristics under market microstructure noise (Q4976548) (← links)
- Stock co-jump networks (Q6150522) (← links)
