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1707.02419
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Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence
8 July 2017
M. Bibinger
N. Hautsch
P. Malec
M. Reiß
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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
82
19
0
16 Jul 2014
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