Quarticity and other functionals of volatility: Efficient estimation

16 July 2012

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 Richard Y. Chen 33 4 0 10 Oct 2018
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 Yoann Potiron P. Mykland 30 13 0 17 Mar 2016
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing Mathias Vetter 46 45 0 25 Jun 2012