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Estimating Unobservable Signal...
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91
Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
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92
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
Saved in:
93
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
94
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
95
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
Saved in:
96
On robust properties of the SIML estimation of volatility under micro-market noise and random sampling
Misaki, Hiroumi
;
Kunitomo, Naoto
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 265-281
Persistent link: https://www.econbiz.de/10011573588
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97
Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
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98
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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99
Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps
Koike, Yuta
- In:
Econometric theory
32
(
2016
)
3
,
pp. 533-611
Persistent link: https://www.econbiz.de/10011606815
Saved in:
100
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
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