Pages that link to "Item:Q308366"
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The following pages link to Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366):
Displaying 11 items.
- Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187) (← links)
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book (Q1740289) (← links)
- Large deviation principles of realized Laplace transform of volatility (Q2116475) (← links)
- Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
- The observed asymptotic variance: hard edges, and a regression approach (Q2658793) (← links)
- Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method (Q2864828) (← links)
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging (Q6553232) (← links)
- Probabilistic models and statistics for electronic financial markets in the digital age (Q6618240) (← links)
