Add to ORKGThis paper treats the multiscale estimation of the integrated volatility of an Ito process immersed in high-frequency correlated noise. The multiscale structure of the problem is modelled explicitly, and the multiscale ratio is used to quantify energy contributions from the noise, estimated using the Whittle likelihood. This problem becomes more complex as we allow the noise structure greater flexibility, and multiscale properties of the estimation are discussed via a simulation study
Recorded prices are known to diverge from their “efficient ” values due to the presence of market mi...
AbstractThis paper introduces adaptiveness to the non-parametric estimation of volatility in high fr...
We study nonparametric estimation of the volatility function of a diffusion process from discrete da...
This paper treats the multiscale estimation of the integrated volatility of an Ito process immersed ...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process in ...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process, in...
Abstract. This paper proposes a novel multiscale estimator for the integrated volatility of an Itô ...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process in ...
Recorded prices are known to diverge from their "efficient" values due to the presence of market mic...
In this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficie...
In this brief note we review some of our recent results on the use of high frequency financial data ...
We consider the problem of testing the parametric form of the volatility for high frequency data. It...
In this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficie...
We introduce a new method to estimate the integrated volatility (IV) based on noisy high-frequency d...
We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Sc...
Recorded prices are known to diverge from their “efficient ” values due to the presence of market mi...
AbstractThis paper introduces adaptiveness to the non-parametric estimation of volatility in high fr...
We study nonparametric estimation of the volatility function of a diffusion process from discrete da...
This paper treats the multiscale estimation of the integrated volatility of an Ito process immersed ...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process in ...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process, in...
Abstract. This paper proposes a novel multiscale estimator for the integrated volatility of an Itô ...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process in ...
Recorded prices are known to diverge from their "efficient" values due to the presence of market mic...
In this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficie...
In this brief note we review some of our recent results on the use of high frequency financial data ...
We consider the problem of testing the parametric form of the volatility for high frequency data. It...
In this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficie...
We introduce a new method to estimate the integrated volatility (IV) based on noisy high-frequency d...
We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Sc...
Recorded prices are known to diverge from their “efficient ” values due to the presence of market mi...
AbstractThis paper introduces adaptiveness to the non-parametric estimation of volatility in high fr...
We study nonparametric estimation of the volatility function of a diffusion process from discrete da...