Local Parametric Estimation in High Frequency Data

Cites Work

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Efficient estimation of integrated volatility incorporating trading information
Quarticity and other functionals of volatility: efficient estimation
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EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Inference for Continuous Semimartingales Observed at High Frequency
Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
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The Estimation of Leverage Effect With High-Frequency Data
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Understanding limit theorems for semimartingales: a short survey