Empirical likelihood for high frequency data

Cites Work

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Empirical likelihood methods with weakly dependent processes
Quarticity and other functionals of volatility: efficient estimation
Confidence interval of the jump activity index based on empirical likelihood using high frequency data
Edgeworth expansion for functionals of continuous diffusion processes
Jump-robust volatility estimation using nearest neighbor truncation
Bootstrapping realized multivariate volatility measures
Box-Cox transforms for realized volatility
Ultra high frequency volatility estimation with dependent microstructure noise
Edgeworth expansions for realized volatility and related estimators
Estimating the degree of activity of jumps in high frequency data
Point estimation with exponentially tilted empirical likelihood
Testing for jumps in a discretely observed process
Extending the scope of empirical likelihood
Asymptotic error distributions for the Euler method for stochastic differential equations
Asymptotically uniformly most powerful tests in parametric and semiparametric models
Empirical likelihood is Bartlett-correctable
Microstructure noise in the continuous case: the pre-averaging approach
Volatility inference in the presence of both endogenous time and microstructure noise
Limit theorems for multipower variation in the presence of jumps
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES
Methodology and Algorithms of Empirical Likelihood
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
Microstructure Noise, Realized Variance, and Optimal Sampling
Edgeworth Corrections for Realized Volatility
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Bootstrapping Realized Volatility
Inference for Continuous Semimartingales Observed at High Frequency
Empirical likelihood ratio confidence intervals for a single functional
Empirical likelihood as a goodness-of-fit measure
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Validity of Edgeworth expansions for realized volatility estimators
Bootstrapping High-Frequency Jump Tests
Bayesian exponentially tilted empirical likelihood
BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
A Tale of Two Time Scales

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