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1007.4622
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Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
27 July 2010
M. Hoffmann
Axel Munk
Johannes Schmidt-Hieber
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Papers citing
"Adaptive wavelet estimation of the diffusion coefficient under additive error measurements"
7 / 7 papers shown
Title
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
M. Bibinger
80
2
0
05 Jan 2023
Efficient volatility estimation in a two-factor model
Olivier Féron
P. Gruet
M. Hoffmann
25
2
0
26 Nov 2018
Nonparametric Bayesian volatility learning under microstructure noise
S. Gugushvili
Frank van der Meulen
Moritz Schauer
Peter Spreij
21
2
0
15 May 2018
The nonparametric LAN expansion for discretely observed diffusions
Sven Wang
82
3
0
06 Feb 2018
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence
M. Bibinger
N. Hautsch
P. Malec
M. Reiß
36
61
0
08 Jul 2017
Estimating time-changes in noisy Lévy models
Adam D. Bull
121
10
0
20 Dec 2013
Asymptotic equivalence for inference on the volatility from noisy observations
M. Reiß
118
93
0
11 May 2011
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