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1002.3045
Cited By
Lower bounds for volatility estimation in microstructure noise models
16 February 2010
Axel Munk
Johannes Schmidt-Hieber
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Papers citing
"Lower bounds for volatility estimation in microstructure noise models"
10 / 10 papers shown
Nonparametric Bayesian volatility learning under microstructure noise
S. Gugushvili
Frank van der Meulen
Moritz Schauer
Peter Spreij
168
2
0
15 May 2018
Change-point inference on volatility in noisy Itô semimartingales
M. Bibinger
Mehmet Madensoy
138
2
0
23 Nov 2017
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence
M. Bibinger
N. Hautsch
P. Malec
M. Reiß
224
57
0
08 Jul 2017
Volatility Decomposition and Estimation in Time-Changed Price Models
R. Dahlhaus
Sophon Tunyavetchakit
216
4
0
07 May 2016
Semimartingale detection and goodness-of-fit tests
Adam D. Bull
321
5
0
30 May 2015
Common price and volatility jumps in noisy high-frequency data
M. Bibinger
Lars Winkelmann
392
16
0
16 Jul 2014
Estimating time-changes in noisy Lévy models
Adam D. Bull
445
10
0
20 Dec 2013
Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
Minjing Tao
Yazhen Wang
Harrison H. Zhou
306
73
0
19 Sep 2013
Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
M. Hoffmann
Axel Munk
Johannes Schmidt-Hieber
456
20
0
27 Jul 2010
Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
Axel Munk
Johannes Schmidt-Hieber
397
26
0
21 Aug 2009
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