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On-line Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models

9 June 2010

Papers citing "On-line Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models"

2 / 2 papers shown

Title
Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models Timo Dimitriadis Roxana Halbleib Jeannine Polivka Jasper Rennspies S. Streicher Axel Friedrich Wolter 91 0 0 22 Dec 2022
Volatility Decomposition and Estimation in Time-Changed Price Models R. Dahlhaus Sophon Tunyavetchakit 75 4 0 07 May 2016