Pages that link to "Item:Q2042282"
From MaRDI portal
The following pages link to Estimation for high-frequency data under parametric market microstructure noise (Q2042282):
Displaying 17 items.
- Separating information maximum likelihood method for high-frequency financial data (Q721137) (← links)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
- On estimating market microstructure noise variance (Q1672752) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps (Q2155303) (← links)
- Time-invariant restrictions of volatility functionals: efficient estimation and specification tests (Q2182138) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
- Estimation of a noisy subordinated Brownian motion via two-scales power variations (Q2408746) (← links)
- A new robust Kalman filter for filtering the microstructure noise (Q5351738) (← links)
- A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH (Q5483505) (← links)
- Volatility of volatility and leverage effect from options (Q6118716) (← links)
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach (Q6190639) (← links)
- Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
- Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise (Q6617600) (← links)
- Local Parametric Estimation in High Frequency Data (Q6626343) (← links)
