Pages that link to "Item:Q3548513"

The following pages link to Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (Q3548513):

Displaying 50 items.

• Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805) (← links)
• Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) (← links)
• Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
• Risk, jumps, and diversification (Q292155) (← links)
• Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
• Realized volatility forecasting and option pricing (Q299252) (← links)
• Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254) (← links)
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
• Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
• Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
• A two-stage realized volatility approach to estimation of diffusion processes with discrete data (Q302180) (← links)
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
• Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
• Filtering with marked point process observations via Poisson chaos expansion (Q360366) (← links)
• Stationary bootstrapping realized volatility under market microstructure noise (Q364198) (← links)
• Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
• Rate-optimal tests for jumps in diffusion processes (Q379937) (← links)
• Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765) (← links)
• On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes (Q391800) (← links)
• Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling (Q402723) (← links)
• An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
• Modelling and forecasting noisy realized volatility (Q429642) (← links)
• The Bickel-Rosenblatt test for continuous time stochastic volatility models (Q464450) (← links)
• Stochastic volatility and stochastic leverage (Q470516) (← links)
• A Gaussian calculus for inference from high frequency data (Q470517) (← links)
• Level changes in volatility models (Q470520) (← links)
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation (Q523444) (← links)
• Testing for jumps in noisy high frequency data (Q527932) (← links)
• International market links and volatility transmission (Q528027) (← links)
• Bootstrapping realized multivariate volatility measures (Q528117) (← links)
• On loss functions and ranking forecasting performances of multivariate volatility models (Q528161) (← links)
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
• Subsampling high frequency data (Q530605) (← links)
• Data-based ranking of realised volatility estimators (Q530606) (← links)
• The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise (Q543441) (← links)
• Bias-corrected realized variance under dependent microstructure noise (Q543443) (← links)
• Asymptotic equivalence for inference on the volatility from noisy observations (Q548535) (← links)
• Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
• Integrated volatility and round-off error (Q605018) (← links)