Pages that link to "Item:Q3646972"
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The following pages link to Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations (Q3646972):
Displaying 11 items.
- Stationary bootstrapping realized volatility under market microstructure noise (Q364198) (← links)
- On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- On estimating market microstructure noise variance (Q1672752) (← links)
- A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data (Q2451774) (← links)
- Simple factor realized stochastic volatility models (Q2693373) (← links)
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise (Q3567037) (← links)
- Detecting price jumps in the presence of market microstructure noise (Q5228603) (← links)
- Multivariate elliptic processes (Q6573276) (← links)
- Do price trajectory data increase the efficiency of market impact estimation? (Q6587733) (← links)