Pages that link to "Item:Q5741621"
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The following pages link to ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621):
Displaying 26 items.
- Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
- Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730) (← links)
- Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data (Q825353) (← links)
- Consistent estimation of covariation under nonsynchronicity (Q946288) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (Q1751974) (← links)
- Jump robust daily covariance estimation by disentangling variance and correlation components (Q1927084) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
- Econometrics of co-jumps in high-frequency data with noise (Q2343752) (← links)
- Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (Q2355172) (← links)
- Truncated realized covariance when prices have infinite variation jumps (Q2359710) (← links)
- Realized stochastic volatility with general asymmetry and long memory (Q2398614) (← links)
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
- Realized BEKK-CAW models (Q2693372) (← links)
- On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) (← links)
- Three-point approach for estimating integrated volatility and integrated covariance (Q2879047) (← links)
- BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE (Q5357388) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- The impact of jumps and leverage in forecasting covolatility (Q5864641) (← links)
- Tests for Jumps in Yield Spreads (Q6626261) (← links)
