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Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009
"LIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/html4/loose.dtd"Jump-Robust Volatility Estimation using Nearest Neighbor Truncation var djConfig = { parseOnLoad: true, isDebug: false };NATIONAL BUREAU OF ECONOMIC RESEARCH HOME PAGE Jump-Robust Volatility Estimation using...
Persistent link: https://www.econbiz.de/10003898519
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Efficient estimation for diffusions sampled at high frequency over a fixed time interval
Munkholt Jakobsen, Nina; Sørensen, Michael - 2015
Persistent link: https://www.econbiz.de/10011327728
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Choice of sample split in out-of-sample forecast evaluation
Hansen, Peter Reinhard; Timmermann, Allan - 2012
Persistent link: https://www.econbiz.de/10009660807
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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - 2018
Persistent link: https://www.econbiz.de/10011864974
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An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu; Bohn Nielsen, Heino; Rahbek, Anders - 2009
Persistent link: https://www.econbiz.de/10003863153
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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181
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On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders; Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849498
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Quadratic variation by Markov chains
Hansen, Peter Reinhard; Horel, Guillaume - 2009
Persistent link: https://www.econbiz.de/10003849527
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Least squares inference on integrated volatility and the relationship between efficient prices and noise
Nolte, Ingmar; Voev, Valeri - 2009
Persistent link: https://www.econbiz.de/10003849539
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A meta-distribution for non-stationary samples
Guégan, Dominique - 2009
Persistent link: https://www.econbiz.de/10003849558