Lower bounds for volatility estimation in microstructure noise models

16 February 2010

Papers citing "Lower bounds for volatility estimation in microstructure noise models"

8 / 8 papers shown

Title
Nonparametric Bayesian volatility learning under microstructure noise S. Gugushvili Frank van der Meulen Moritz Schauer Peter Spreij 21 2 0 15 May 2018
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence M. Bibinger N. Hautsch P. Malec M. Reiß 26 61 0 08 Jul 2017
Volatility Decomposition and Estimation in Time-Changed Price Models R. Dahlhaus Sophon Tunyavetchakit 59 4 0 07 May 2016
Common price and volatility jumps in noisy high-frequency data M. Bibinger Lars Winkelmann 67 19 0 16 Jul 2014
Estimating time-changes in noisy Lévy models Adam D. Bull 108 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 126 70 0 19 Sep 2013
Adaptive wavelet estimation of the diffusion coefficient under additive error measurements M. Hoffmann Axel Munk Johannes Schmidt-Hieber 162 21 0 27 Jul 2010
Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise Axel Munk Johannes Schmidt-Hieber 116 26 0 21 Aug 2009