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Nonparametric Estimation of the Volatility Under Microstructure Noise : Wavelet Adaptation

Hoffmann, Marc - 2010

We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data are blurred by additional noise. This noise can be white or correlated, and serves as a model for microstructure effects in financial modeling, when the data are given on an...

Persistent link: https://www.econbiz.de/10013139169

Nonparametric estimation of large spot volatility matrices for high-frequency financial data

Bu, Ruijun; Li, Degui; Linton, Oliver; Wang, Hanchao - 2022 - This version: March 16, 2022

Persistent link: https://www.econbiz.de/10013263439

Tilted nonparametric estimation of volatility functions with empirical applications

Xu, Ke-li; Phillips, Peter C. B. - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 518-528

Persistent link: https://www.econbiz.de/10009355632

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362

Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - 2013

Persistent link: https://www.econbiz.de/10010189526

Tilted nonparametric estimation of volatility functions

Phillips, Peter C. B. (contributor); Xu, Ke-Li (contributor) - 2007

Persistent link: https://www.econbiz.de/10003723111

Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency

Kalnina, Ilze; Xiu, Dacheng - 2015

Persistent link: https://www.econbiz.de/10011419309

Nonparametric estimation and forecasting for time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 88-100

Persistent link: https://www.econbiz.de/10011894402

Global estimation of realized spot volatility in the presence of price jumps

Dare, Wale; Fengler, Matthias - 2017

Persistent link: https://www.econbiz.de/10011799708

Nonparametric estimation of jump diffusion models

Park, Joon Y.; Wang, Bin - In: Journal of econometrics 222 (2021) 1,3, pp. 688-715

Persistent link: https://www.econbiz.de/10012619778

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