Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence

8 July 2017

Papers citing "Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence"

6 / 6 papers shown

Title
A nonparametric test for diurnal variation in spot correlation processes Kim Christensen Ulrich Hounyo Zhi Liu 29 0 0 05 Aug 2024
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 M. Bibinger 80 2 0 05 Jan 2023
Student-t Stochastic Volatility Model With Composite Likelihood EM-Algorithm Raanju R. Sundararajan W. Barreto‐Souza 13 3 0 27 May 2021
The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations Richard Y. Chen 14 2 0 06 Nov 2019
Common price and volatility jumps in noisy high-frequency data M. Bibinger Lars Winkelmann 75 19 0 16 Jul 2014