Volatility estimation under one-sided errors with applications to limit order books

16 August 2014

Papers citing "Volatility estimation under one-sided errors with applications to limit order books"

5 / 5 papers shown

Title
Probabilistic models and statistics for electronic financial markets in the digital age Markus Bibinger 30 0 0 11 Jun 2024
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise M. Bibinger 35 2 0 05 Jan 2023
Volatility Decomposition and Estimation in Time-Changed Price Models R. Dahlhaus Sophon Tunyavetchakit 29 4 0 07 May 2016
On the asymptotic structure of Brownian motions with a small lead-lag effect Yuta Koike 30 4 0 14 Jan 2016
Efficient estimation of functionals in nonparametric boundary models M. Reiß Leonie Selk 36 11 0 16 Jul 2014