Lower bounds for volatility estimation in microstructure noise models

16 February 2010

Papers citing "Lower bounds for volatility estimation in microstructure noise models"

5 / 5 papers shown

Title
Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise Axel Munk Johannes Schmidt-Hieber 91 26 0 21 Aug 2009
Asymptotic equivalence of spectral density estimation and gaussian white noise G. Golubev M. Nussbaum Harrison H. Zhou 138 52 0 07 Mar 2009
Robust nonparametric estimation via wavelet median regression L. Brown T. Tony Cai Harrison H. Zhou 115 51 0 27 Oct 2008
Variance estimation in nonparametric regression via the difference sequence method L. Brown M. Levine 125 140 0 06 Dec 2007
Estimation of the Hurst parameter from discrete noisy data A. Gloter M. Hoffmann 152 49 0 21 Nov 2007