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Volatility estimation under one-sided errors with applications to limit
  order books
v1v2v3v4 (latest)

Volatility estimation under one-sided errors with applications to limit order books

16 August 2014
M. Bibinger
M. Jirak
M. Reiß
ArXiv (abs)PDFHTML

Papers citing "Volatility estimation under one-sided errors with applications to limit order books"

8 / 8 papers shown
Title
Probabilistic models and statistics for electronic financial markets in
  the digital age
Probabilistic models and statistics for electronic financial markets in the digital age
Markus Bibinger
62
0
0
11 Jun 2024
Jump detection in high-frequency order prices
Jump detection in high-frequency order prices
M. Bibinger
N. Hautsch
Alexander Ristig
64
1
0
26 Feb 2024
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
Time-varying first-order autoregressive processes with irregular
  innovations
Time-varying first-order autoregressive processes with irregular innovations
H. Gruber
M. Jirak
54
0
0
23 Jan 2022
Deep Reinforcement Learning for Active High Frequency Trading
Deep Reinforcement Learning for Active High Frequency Trading
Antonio Briola
J. Turiel
Riccardo Marcaccioli
Alvaro Cauderan
T. Aste
AIFinAI4TS
89
36
0
18 Jan 2021
Volatility Decomposition and Estimation in Time-Changed Price Models
Volatility Decomposition and Estimation in Time-Changed Price Models
R. Dahlhaus
Sophon Tunyavetchakit
70
4
0
07 May 2016
On the asymptotic structure of Brownian motions with a small lead-lag
  effect
On the asymptotic structure of Brownian motions with a small lead-lag effect
Yuta Koike
83
4
0
14 Jan 2016
Efficient estimation of functionals in nonparametric boundary models
Efficient estimation of functionals in nonparametric boundary models
M. Reiß
Leonie Selk
161
11
0
16 Jul 2014
1