Pages that link to "Item:Q749146"

The following pages link to An econometric analysis of nonsynchronous trading (Q749146):

Displaying 43 items.

• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise (Q282571) (← links)
• Nonparametric simultaneous testing for structural breaks (Q291109) (← links)
• Second-order asymptotic expansion for a non-synchronous covariation estimator (Q720740) (← links)
• Long-run wavelet-based correlation for financial time series (Q724160) (← 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)
• Statistical inference of the efficient frontier for dependent asset returns (Q840988) (← links)
• Foreign ownership and volatility dynamics of Indonesian stocks (Q928167) (← links)
• An example of a misclassification problem applied to Australian equity data (Q1019997) (← links)
• Hypothesis testing with the Sharpe and Treynor portfolio: performance measures given non-synchronous trading (Q1676700) (← links)
• Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return (Q1695664) (← links)
• Modeling and pricing long memory in stock market volatility (Q1922362) (← links)
• Direct estimation of lead-lag relationships using multinomial dynamic time warping (Q2216402) (← links)
• When will the Covid-19 pandemic peak? (Q2224906) (← links)
• Herding and feedback trading in cryptocurrency markets (Q2241203) (← links)
• The impact of asynchronous trading on Epps effect on Warsaw stock exchange (Q2401313) (← links)
• Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (Q2425171) (← links)
• Intradaily dynamic portfolio selection (Q2445697) (← links)
• Missing observations in observation-driven time series models (Q2658759) (← links)
• (Q2739563) (← links)
• Estimation of quarticity with high-frequency data (Q2873034) (← links)
• Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators (Q2893074) (← links)
• Random aggregation with applications in high-frequency finance (Q3018539) (← links)
• High-dimensional covariance forecasting for short intra-day horizons (Q3064018) (← links)
• Wavelet-Based Methods for High-Frequency Lead-Lag Analysis (Q3122063) (← links)
• TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA (Q3421822) (← links)
• Realized Volatility: A Review (Q3539862) (← links)
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? (Q3539873) (← links)
• The Epps effect revisited (Q3650961) (← links)
• Robustness of the arch tests in the presence of serial correlation (Q4369369) (← links)
• Testing for serial correlation in the presence of dynamic heteroscedasticity (Q4384999) (← links)
• Ultra-high-frequency lead–lag relationship and information arrival (Q4554452) (← links)
• Anomalous waiting times in high-frequency financial data (Q4610281) (← links)
• Inventory Effects on Daily Returns in Financial Markets (Q4812334) (← links)
• SPECTRAL FINANCIAL ECONOMETRICS (Q5059133) (← links)
• A closed-form formula characterization of the Epps effect (Q5121493) (← links)
• Time-varying autoregressive conditional duration model (Q5123583) (← links)
• Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets (Q5440106) (← links)
• A CLOSER LOOK AT THE EPPS EFFECT (Q5696843) (← links)
• Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity (Q5880780) (← links)
• On measuring volatility of diffusion processes with high frequency data (Q5958532) (← links)
• Dynamic Discrete Mixtures for High-Frequency Prices (Q6620884) (← links)
• Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters (Q6634901) (← links)