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Two-scale realized kernels : a univariate case

Ikeda, Shin S. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 126-165

Persistent link: https://www.econbiz.de/10010519659

Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high requency return data

Lee, Kyungsub - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 19-36

Persistent link: https://www.econbiz.de/10011431109

Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods

Fičura, Milan; Witzany, Jiří - In: Finance a úvěr 66 (2016) 4, pp. 278-301

Persistent link: https://www.econbiz.de/10011532802

GARCH model estimation using estimated quadratic variation

Galbraith, John W.; Zinde-Walsh, Victoria; Zhu, Jingmei - In: Econometric reviews 34 (2015) 6/10, pp. 1172-1192

Persistent link: https://www.econbiz.de/10011483454

Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Barunik, Jozef; Vácha, Lukáš - 2014

We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized variance into several investment horizons and...

Persistent link: https://www.econbiz.de/10010407510