Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise

5 January 2023

Papers citing "Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise"

3 / 3 papers shown

Title
Probabilistic models and statistics for electronic financial markets in the digital age Markus Bibinger 35 0 0 11 Jun 2024
Jump detection in high-frequency order prices M. Bibinger N. Hautsch Alexander Ristig 24 1 0 26 Feb 2024
Adaptive wavelet estimation of the diffusion coefficient under additive error measurements M. Hoffmann Axel Munk Johannes Schmidt-Hieber 93 21 0 27 Jul 2010