Pages that link to "Item:Q299254"
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The following pages link to Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254):
Displaying 47 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)
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
- Realized volatility forecasting and option pricing (Q299252) (← links)
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data (Q326850) (← links)
- Stationary bootstrapping realized volatility under market microstructure noise (Q364198) (← links)
- An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory (Q429296) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Subsampling high frequency data (Q530605) (← links)
- Data-based ranking of realised volatility estimators (Q530606) (← links)
- Quasi-maximum likelihood estimation of volatility with high frequency data (Q736702) (← links)
- Estimating quadratic variation when quoted prices change by a constant increment (Q737253) (← links)
- Subsampling realised kernels (Q737277) (← links)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
- Functional modelling of volatility in the Swedish limit order book (Q961406) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- Optimal design of Fourier estimator in the presence of microstructure noise (Q1623566) (← links)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
- Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity (Q1652951) (← links)
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
- Estimating the integrated volatility with tick observations (Q1739633) (← links)
- The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634) (← links)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- Spectral analysis of quadratic variation in the presence of market microstructure noise (Q1747456) (← links)
- The drift burst hypothesis (Q2116347) (← links)
- Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
- Vast volatility matrix estimation for high-frequency financial data (Q2380093) (← links)
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading (Q2405902) (← links)
- On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
- Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650) (← links)
- Estimating spot volatility with high-frequency financial data (Q2451790) (← links)
- The observed asymptotic variance: hard edges, and a regression approach (Q2658793) (← links)
- A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
- An unbiased measure of integrated volatility in the frequency domain (Q2789386) (← links)
- Realized kernels in practice: trades and quotes (Q3653354) (← links)
- Determining the integrated volatility via limit order books with multiple records (Q4555173) (← links)
- On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect (Q4578217) (← links)
- VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (Q4906543) (← links)
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS (Q5371156) (← links)
- ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS (Q5741621) (← links)
- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (Q5964706) (← links)
- Optimal nonparametric range-based volatility estimation (Q6193007) (← links)
- Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns (Q6574633) (← links)
- Volatility analysis in high-frequency financial data (Q6604425) (← links)
- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous (Q6620891) (← links)
- Inference for calendar effects in microstructure noise (Q6636848) (← links)
