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Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency

25 March 2013

Papers citing "Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency"

4 / 4 papers shown

Title
On the asymptotic structure of Brownian motions with a small lead-lag effect Yuta Koike 76 4 0 14 Jan 2016
Functional stable limit theorems for quasi-efficient spectral covolatility estimators R. Altmeyer M. Bibinger 55 22 0 10 Jan 2014
Quarticity and other functionals of volatility: Efficient estimation J. Jacod M. Rosenbaum 97 124 0 16 Jul 2012
Asymptotic equivalence for inference on the volatility from noisy observations M. Reiß 115 93 0 11 May 2011