Adaptive wavelet estimation of the diffusion coefficient under additive
error measurements

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Adaptive wavelet estimation of the diffusion coefficient under additive error measurements

27 July 2010

Johannes Schmidt-Hieber

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Papers citing "Adaptive wavelet estimation of the diffusion coefficient under additive error measurements"

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Title
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise M. Bibinger 83 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 84 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 42 61 0 08 Jul 2017
Estimating time-changes in noisy Lévy models Adam D. Bull 132 10 0 20 Dec 2013
Asymptotic equivalence for inference on the volatility from noisy observations M. Reiß 118 93 0 11 May 2011