Pages that link to "Item:Q4612526"
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The following pages link to Statistical Properties of Microstructure Noise (Q4612526):
Displaying 31 items.
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
- Estimating the integrated volatility with tick observations (Q1739633) (← links)
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- A CLT for second difference estimators with an application to volatility and intensity (Q2091830) (← links)
- Occupation density estimation for noisy high-frequency data (Q2116333) (← links)
- The drift burst hypothesis (Q2116347) (← links)
- Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- Glivenko-Cantelli theorems for integrated functionals of stochastic processes (Q2240872) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- Measuring the relevance of the microstructure noise in financial data (Q2447651) (← links)
- Measuring market efficiency: the Shannon entropy of high-frequency financial time series (Q2677401) (← links)
- Response Statistics for Random Heterogeneous Microstructures (Q2938444) (← links)
- STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (Q3225026) (← links)
- On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (Q4610613) (← links)
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS (Q4959130) (← links)
- SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS (Q4993886) (← links)
- Robust covariance estimation with noisy high-frequency financial data (Q5051327) (← links)
- Modelling microstructure noise with mutually exciting point processes (Q5746743) (← links)
- Volatility measurement with pockets of extreme return persistence (Q6090561) (← links)
- Intraday cross-sectional distributions of systematic risk (Q6108306) (← links)
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
- Optimal nonparametric range-based volatility estimation (Q6193007) (← links)
- Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises (Q6574582) (← links)
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous (Q6620891) (← links)
- Inference for calendar effects in microstructure noise (Q6636848) (← links)