Pages that link to "Item:Q5371156"
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The following pages link to ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156):
Displaying 15 items.
- 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)
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- Consistent inference for predictive regressions in persistent economic systems (Q2043266) (← links)
- Testing for parameter instability and structural change in persistent predictive regressions (Q2106367) (← links)
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (Q4554429) (← links)
- SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS (Q4993886) (← links)
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- Bootstrapping Laplace transforms of volatility (Q6088832) (← links)
- Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511) (← links)
- Testing for jumps with robust spot volatility estimators (Q6490929) (← links)
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous (Q6620891) (← links)
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data (Q6620901) (← links)
