Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

18 January 2010

Papers citing "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise"

3 / 3 papers shown

Title
Asymptotic Equivalence for Nonparametric Regression Ion Grama Michael Nussbaum 124 62 0 19 Dec 2024
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps M. Podolskij Mathias Vetter 74 309 0 04 Sep 2009
Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise Axel Munk Johannes Schmidt-Hieber 71 26 0 21 Aug 2009