Pages that link to "Item:Q737273"
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The following pages link to Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273):
Displaying 26 items.
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading (Q506058) (← links)
- Data-based ranking of realised volatility estimators (Q530606) (← links)
- Bias-corrected realized variance under dependent microstructure noise (Q543443) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (Q1023629) (← links)
- Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- On estimating market microstructure noise variance (Q1672752) (← links)
- Adaptive wavelet estimation of the diffusion coefficient under additive error measurements (Q1930660) (← links)
- Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
- Measuring the relevance of the microstructure noise in financial data (Q2447651) (← links)
- Assessing the quality of volatility estimators via option pricing (Q2509440) (← links)
- Microstructure Noise, Realized Variance, and Optimal Sampling (Q3502142) (← links)
- Realized Volatility: A Review (Q3539862) (← links)
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (Q3548513) (← links)
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise (Q3567037) (← links)
- Market Microstructure Invariance: Empirical Hypotheses (Q4613426) (← links)
- MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX (Q5198953) (← links)
- Volatility Estimation and Jump Testing via Realized Information Variation (Q5237530) (← links)
- Modelling microstructure noise with mutually exciting point processes (Q5746743) (← links)
- Bias-corrected realized variance (Q5860901) (← links)
- Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas (Q6149866) (← links)
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns (Q6574633) (← links)
