Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise

21 August 2009

Papers citing "Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise"

6 / 6 papers shown

Title
Limit theorems for moving averages of discretized processes plus noise J. Jacod M. Podolskij Mathias Vetter 85 112 0 02 Oct 2010
Lower bounds for volatility estimation in microstructure noise models Axel Munk Johannes Schmidt-Hieber 90 26 0 16 Feb 2010
Integrated volatility and round-off error M. Rosenbaum 90 53 0 04 Sep 2009
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps M. Podolskij Mathias Vetter 103 309 0 04 Sep 2009
Asymptotic equivalence of spectral density estimation and gaussian white noise G. Golubev M. Nussbaum Harrison H. Zhou 138 52 0 07 Mar 2009
Estimation of the instantaneous volatility A. Alvarez Fabien Panloup M. Pontier Nicolas Savy 62 40 0 18 Dec 2008