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Quarticity and other functionals of volatility: Efficient estimation

Quarticity and other functionals of volatility: Efficient estimation

J. Jacod
M. Rosenbaum
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Papers citing "Quarticity and other functionals of volatility: Efficient estimation"

4 / 4 papers shown
Title
Inference for Volatility Functionals of Multivariate Itô Semimartingales Observed with Jump and Noise
Inference for Volatility Functionals of Multivariate Itô Semimartingales Observed with Jump and Noise
Richard Y. Chen
30
4
0
10 Oct 2018
Statistical inference for the doubly stochastic self-exciting process
Statistical inference for the doubly stochastic self-exciting process
Simon Clinet
Yoann Potiron
25
13
0
20 Jul 2016
Local Parametric Estimation in High Frequency Data
Local Parametric Estimation in High Frequency Data
Yoann Potiron
P. Mykland
27
13
0
17 Mar 2016
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
Mathias Vetter
44
45
0
25 Jun 2012