Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps

21 February 2013

Papers citing "Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps"

2 / 2 papers shown

Title
Common price and volatility jumps in noisy high-frequency data M. Bibinger Lars Winkelmann 46 19 0 16 Jul 2014
Quasi-Likelihood Analysis for Stochastic Regression Models with Nonsynchronous Observations Teppei Ogihara Nakahiro Yoshida 47 14 0 20 Dec 2012