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0909.0835
Cited By
Integrated volatility and round-off error
4 September 2009
M. Rosenbaum
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Papers citing
"Integrated volatility and round-off error"
9 / 9 papers shown
Rate-optimal estimation of mixed semimartingales
Social Science Research Network (SSRN), 2022
Carsten H. Chong
T. Delerue
Fabian Mies
301
10
0
21 Jul 2022
When Frictions are Fractional: Rough Noise in High-Frequency Data
Journal of the American Statistical Association (JASA), 2021
Carsten H. Chong
T. Delerue
Guoying Li
345
8
0
30 Jun 2021
Estimation of the lead-lag parameter from non-synchronous data
M. Hoffmann
M. Rosenbaum
Nakahiro Yoshida
245
65
0
20 Mar 2013
The effect of round-off error on long memory processes
Gabriele La Spada
Fabrizio Lillo
247
3
0
22 Jul 2011
Expectiles for subordinated Gaussian processes with applications
Jean‐François Coeurjolly
H. Kortas
245
1
0
04 Jul 2011
Asymptotic results and statistical procedures for time-changed Lévy processes sampled at hitting times
M. Rosenbaum
P. Tankov
371
5
0
08 Jul 2010
On-line Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models
R. Dahlhaus
Jan C. Neddermeyer
586
13
0
09 Jun 2010
Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
Axel Munk
Johannes Schmidt-Hieber
401
26
0
21 Aug 2009
Parameter estimation for rough differential equations
A. Papavasiliou
Christophe Ladroue
608
35
0
16 Dec 2008
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