An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

21 June 2011

Papers citing "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory"

6 / 6 papers shown

Title
Local Quantile Regression V. Spokoiny Weining Wang W. Hardle 65 63 0 27 Aug 2012
Asymptotics of Asynchronicity M. Bibinger 61 32 0 21 Jun 2011
Asymptotic equivalence for inference on the volatility from noisy observations M. Reiß 80 93 0 11 May 2011
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise M. Reiß 151 41 0 18 Jan 2010
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps M. Podolskij Mathias Vetter 74 309 0 04 Sep 2009
Efficient covariance estimation for asynchronous noisy high-frequency data M. Bibinger 67 43 0 18 Dec 2008