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Adaptive wavelet estimation of the diffusion coefficient under additive
  error measurements
v1v2 (latest)

Adaptive wavelet estimation of the diffusion coefficient under additive error measurements

27 July 2010
M. Hoffmann
Axel Munk
Johannes Schmidt-Hieber
ArXiv (abs)PDFHTML

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
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
Efficient volatility estimation in a two-factor model
Olivier Féron
P. Gruet
M. Hoffmann
27
2
0
26 Nov 2018
Nonparametric Bayesian volatility learning under microstructure noise
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
The nonparametric LAN expansion for discretely observed diffusions
Sven Wang
86
3
0
06 Feb 2018
Estimating the Spot Covariation of Asset Prices - Statistical Theory and
  Empirical Evidence
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
Estimating time-changes in noisy Lévy models
Adam D. Bull
135
10
0
20 Dec 2013
Asymptotic equivalence for inference on the volatility from noisy
  observations
Asymptotic equivalence for inference on the volatility from noisy observations
M. Reiß
118
93
0
11 May 2011
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