$Nonparametric test for a constant beta between \Ito semi-martingales based on high-frequency data$

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Nonparametric test for a constant beta between \Ito semi-martingales based on high-frequency data

3 March 2014

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Papers citing "Nonparametric test for a constant beta between \Ito semi-martingales based on high-frequency data"

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Title
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency M. Bibinger N. Hautsch P. Malec M. Reiß 89 106 0 25 Mar 2013
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps J. Jacod M. Reiß 92 48 0 19 Sep 2012
Quarticity and other functionals of volatility: Efficient estimation J. Jacod M. Rosenbaum 97 124 0 16 Jul 2012
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory M. Bibinger 88 71 0 21 Jun 2011
Efficient covariance estimation for asynchronous noisy high-frequency data M. Bibinger 80 43 0 18 Dec 2008