Limit theorems for moving averages of discretized processes plus noise

2 October 2010

Papers citing "Limit theorems for moving averages of discretized processes plus noise"

5 / 5 papers shown

Title
Is Brownian motion necessary to model high-frequency data? Yacine Ait-Sahalia J. Jacod 79 114 0 11 Nov 2010
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps M. Podolskij Mathias Vetter 106 309 0 04 Sep 2009
Estimating the degree of activity of jumps in high frequency data Yacine Ait-Sahalia J. Jacod 95 263 0 21 Aug 2009
Testing for jumps in a discretely observed process Yacine Ait-Sahalia J. Jacod 91 596 0 02 Mar 2009
Are volatility estimators robust with respect to modeling assumptions? Yingying Li P. Mykland 140 73 0 04 Sep 2007