duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi …

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence … memory requires major revisions in the standard estimation procedures without which the estimated results can be seriously …

model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …

broader theory which also applies to cases where M-estimation is used to pin down the efficient price in local neighbourhoods …. M-estimation serves the same function as averaging, but we shall see that it is safer. Good choices of M … problem.In this paper, we develop a general theory for pre-averaging and M-estimation based inference. We show that, up to a …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can …

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the … the particular case of GARCH estimation, the proposed method is applied to stock-index series and is shown to outperform … the standard parametric GARCH model. -- adaptive pointwise estimation ; autoregressive models ; conditional …