Pages that link to "Item:Q4534852"

The following pages link to Diffusions with measurement errors. II. Optimal estimators (Q4534852):

Displaying 50 items.

• Estimating functions for noisy observations of ergodic diffusions (Q265660) (← 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)
• 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)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise (Q543441) (← links)
• Asymptotic equivalence for inference on the volatility from noisy observations (Q548535) (← links)
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps (Q605016) (← links)
• Realised quantile-based estimation of the integrated variance (Q736690) (← links)
• Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
• Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
• Integrated variance forecasting: model based vs. reduced form (Q737909) (← links)
• Bipower-type estimation in a noisy diffusion setting (Q841480) (← links)
• Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
• Limit theorems for moving averages of discretized processes plus noise (Q973875) (← links)
• Efficient estimation of stable Lévy process with symmetric jumps (Q1656845) (← links)
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
• Parametric inference for nonsynchronously observed diffusion processes in the presence of market microstructure noise (Q1750086) (← links)
• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
• Non-parametric estimation of the diffusion coefficient from noisy data (Q1757892) (← links)
• Local asymptotic normality property for fractional Gaussian noise under high-frequency observations (Q1800793) (← links)
• Adaptive wavelet estimation of the diffusion coefficient under additive error measurements (Q1930660) (← links)
• Model checks for the volatility under microstructure noise (Q1932237) (← links)
• Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise (Q1952081) (← links)
• Hybrid estimation for ergodic diffusion processes based on noisy discrete observations (Q1984651) (← links)
• Adaptive estimation for degenerate diffusion processes (Q2044342) (← links)
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
• Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
• Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise (Q2219235) (← links)
• Misspecified diffusion models with high-frequency observations and an application to neural networks (Q2239259) (← links)
• Adaptive test for ergodic diffusions plus noise (Q2317323) (← links)
• Difference based estimators and infill statistics (Q2339214) (← links)
• Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451) (← links)
• Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
• Edgeworth expansion for the pre-averaging estimator (Q2408996) (← links)
• Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (Q2448712) (← links)
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802) (← links)
• Parameter estimation by contrast minimization for noisy observations of a diffusion process (Q2934864) (← links)
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS (Q3408516) (← links)
• (Q3777199) (← links)
• Diffusions with measurement errors. I. Local Asymptotic Normality (Q4534851) (← links)
• Optimal estimation of diffusion processes hidden by general obstacles (Q4537311) (← links)
• On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect (Q4578217) (← links)
• VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data (Q4987543) (← links)
• Parameter identification for a stochastic logistic growth model with extinction (Q5084735) (← links)
• Parametric inference for mixed models defined by stochastic differential equations (Q5190282) (← links)
• ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)