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On estimation of hurst parameter under noisy observations
Liu, Guangying; Jing, Bingyi - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 483-492
Persistent link: https://www.econbiz.de/10012249184
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Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011691138
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Local parametric estimation in high frequency data
Potiron, Yoann; Mykland, Per A. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
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Disentangling sources of high frequency market microstructure noise
Clinet, Simon; Potiron, Yoann - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 18-39
Persistent link: https://www.econbiz.de/10012424496
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Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
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On the estimation of integrated volatility with jumps and microstructure noise
Jing, Bingyi; Liu, Zhi; Kong, Xinbing - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 457-467
Persistent link: https://www.econbiz.de/10010488463
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Rank tests at jump events
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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Exponential GARCH modeling with realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 269-287
Persistent link: https://www.econbiz.de/10011691332
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Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
Lunde, Asger; Shephard, Neil G.; Sheppard, Kevin - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 504-518
Persistent link: https://www.econbiz.de/10011692391
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Estimating jump activity using multipower variation
Kolokolov, Aleksey - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 128-140
Persistent link: https://www.econbiz.de/10012804092