Pages that link to "Item:Q1361122"

The following pages link to A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors (Q1361122):

Displaying 36 items.

• Efficient estimation of integrated volatility incorporating trading information (Q311638) (← links)
• Integrated volatility and round-off error (Q605018) (← links)
• Estimating quadratic variation when quoted prices change by a constant increment (Q737253) (← links)
• Estimating covariation: Epps effect, microstructure noise (Q737259) (← links)
• Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
• Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
• The effect of round-off error on long memory processes (Q905390) (← links)
• Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
• Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
• High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
• Asymptotic error distributions for the Euler method for stochastic differential equations (Q1307078) (← links)
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484) (← links)
• The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling (Q2013324) (← links)
• Distribution-free specification test for volatility function based on high-frequency data with microstructure noise (Q2082567) (← links)
• Trading information, price discreteness, and volatility estimation (Q2123280) (← links)
• Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
• Central limit theorem for the realized volatility based on tick time sampling (Q2430257) (← links)
• Are volatility estimators robust with respect to modeling assumptions? (Q2469643) (← links)
• An integrated cross-volatility estimation for asynchronous noisy data (Q2892937) (← links)
• A Markov Chain Estimator of Multivariate Volatility from High Frequency Data (Q2956061) (← links)
• A new microstructure noise index (Q3019507) (← links)
• A Non-Parametric Estimator of the Spectral Density of a Continuous-Time Gaussian Process Observed at Random Times (Q3103134) (← links)
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS (Q3408516) (← links)
• Moving Average-Based Estimators of Integrated Variance (Q3539864) (← links)
• On the statistical analysis of quantized Gaussian AR(1) processes (Q3576984) (← links)
• VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)
• (Q5009794) (← links)
• Deviation of order<i>p</i>for estimators of the variance in first-order stochastic differential equation (SDE) (Q5402480) (← links)
• Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes (Q6053111) (← links)
• Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel (Q6180365) (← links)
• Estimation of Leverage Effect: Kernel Function and Efficiency (Q6190703) (← links)
• Understanding limit theorems for semimartingales: a short survey (Q6573274) (← links)
• A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises (Q6574582) (← links)
• Rounding error using low precision approximate random variables (Q6575347) (← links)
• Disentangling Sources of High Frequency Market Microstructure Noise (Q6617733) (← links)
• Jumps or Staleness? (Q6626220) (← links)