Pages that link to "Item:Q4610613"
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The following pages link to On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (Q4610613):
Displaying 20 items.
- 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)
- On estimating market microstructure noise variance (Q1672752) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- New evidence on market response to public announcements in the presence of microstructure noise (Q2076860) (← links)
- From zero to hero: realized partial (co)variances (Q2106366) (← links)
- Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
- High-dimensional multivariate realized volatility estimation (Q2323370) (← links)
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
- On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
- Corrigendum to ``Local mispricing and microstructural noise: a parametric perspective'' (Q2682969) (← links)
- A new method to estimate the noise in financial correlation matrices (Q4443882) (← links)
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
- GMM estimation of a realized stochastic volatility model: A Monte Carlo study (Q5862494) (← links)
- (Q5879918) (← links)
- Optimal nonparametric range-based volatility estimation (Q6193007) (← links)
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns (Q6574633) (← links)
- Disentangling Sources of High Frequency Market Microstructure Noise (Q6617733) (← links)