Pages that link to "Item:Q2347451"
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The following pages link to Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451):
Displaying 16 items.
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976) (← links)
- Common price and volatility jumps in noisy high-frequency data (Q1657876) (← links)
- Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- Estimation of volatility in a high-frequency setting: a short review (Q2292043) (← links)
- Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
- Adaptive estimation of continuous-time regression models using high-frequency data (Q2398973) (← links)
- Central limit theorems for discretized occupation time functionals (Q2680392) (← links)
- Faster Convergence to the Estimation of Quadratic Variation with Microstructure Noise (Q2792279) (← links)
- Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method (Q2864828) (← links)
- STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE (Q3225026) (← links)
- Rate efficient estimation of realized Laplace transform of volatility with microstructure noise (Q5242898) (← links)
- Optimal estimation of the rough Hurst parameter in additive noise (Q6123285) (← links)
- On Estimation of Hurst Parameter Under Noisy Observations (Q6623197) (← links)
