The following pages link to (Q3511639):
Displaying 28 items.
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
- Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
- Updating toward the signal (Q447541) (← links)
- A branching particle approximation to a filtering micromovement model of asset price (Q453787) (← links)
- The Bickel-Rosenblatt test for continuous time stochastic volatility models (Q464450) (← links)
- Parametric estimation of stationary stochastic processes under indirect observability (Q637529) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme (Q1729305) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions (Q2128080) (← links)
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise (Q2219235) (← links)
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
- Central limit theorem for the realized volatility based on tick time sampling (Q2430257) (← links)
- Zero-intelligence realized variance estimation. (Q2430259) (← links)
- Assessing the quality of volatility estimators via option pricing (Q2509440) (← links)
- An unbiased measure of integrated volatility in the frequency domain (Q2789386) (← links)
- Central limit theorems for the non-parametric estimation of time-changed Lévy models (Q2911696) (← links)
- High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model (Q2941476) (← links)
- Model-based pairs trading in the bitcoin markets (Q4555101) (← links)
- Determining the integrated volatility via limit order books with multiple records (Q4555173) (← links)
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation (Q4636365) (← links)
- VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)
- UNIT ROOT TEST WITH HIGH-FREQUENCY DATA (Q5065460) (← links)
- Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics (Q5234371) (← links)
- Spectral Estimation of Covolatility from Noisy Observations Using Local Weights (Q5413944) (← links)
- Copula estimation for nonsynchronous financial data (Q6108882) (← links)
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise (Q6594970) (← links)
