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
In this brief note we review some of our recent results on the use of high frequency financial data ...
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion ...
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchrono...
This paper treats the multiscale estimation of integrated volatility of an Itˆo process immersed in ...
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...
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 ...
Recorded prices are known to diverge from their "efficient" values due to the presence of market mic...
AbstractThis paper introduces adaptiveness to the non-parametric estimation of volatility in high fr...
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchrono...
In this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficie...
We study nonparametric estimation of the volatility function of a diffusion process from discrete da...
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 ...
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion ...
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchrono...
This paper treats the multiscale estimation of integrated volatility of an Itˆo process immersed in ...
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...
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 ...
Recorded prices are known to diverge from their "efficient" values due to the presence of market mic...
AbstractThis paper introduces adaptiveness to the non-parametric estimation of volatility in high fr...
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchrono...
In this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficie...
We study nonparametric estimation of the volatility function of a diffusion process from discrete da...
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 ...
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion ...
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchrono...