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Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps
Koike, Yuta - In: Econometric theory 32 (2016) 3, pp. 533-611
Persistent link: https://www.econbiz.de/10011606815
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Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - In: Econometric theory 33 (2017) 4, pp. 791-838
Persistent link: https://www.econbiz.de/10011810210
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Kernel estimation of spot volatility with microstructure noise using pre-averaging
Figueroa-López, José E.; Wu, Bei - In: Econometric theory 40 (2024) 3, pp. 558-607
Persistent link: https://www.econbiz.de/10015055107
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Testing for long memory in volatility
Hurvich, Clifford M.; Soulier, Philippe - In: Econometric theory 18 (2002) 6, pp. 1291-1308
Persistent link: https://www.econbiz.de/10001716895
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Exponential realized GARCH-Itô volatility models
Kim, Donggyu - In: Econometric theory 40 (2024) 4, pp. 790-826
Persistent link: https://www.econbiz.de/10015154305
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Nonparametric filtering of the realized spot volatility : a kernel-based approach
Kristensen, Dennis - In: Econometric theory 26 (2010) 1, pp. 60-93
Persistent link: https://www.econbiz.de/10003968526
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Bootstrap unit root tests for time series with nonstationary volatility
Cavaliere, Giuseppe; Taylor, Robert - In: Econometric theory 24 (2008) 1, pp. 43-71
Persistent link: https://www.econbiz.de/10003894110
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Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe; Harvey, David I.; Leybourne, … - In: Econometric theory 27 (2011) 5, pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
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Fast convergence rates in estimating large volatility matrices using high-frequency financial data
Tao, Minjing; Wang, Yazhen; Chen, Xiaohong - In: Econometric theory 29 (2013) 4, pp. 838-856
Persistent link: https://www.econbiz.de/10010210158
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Estimating the persistence and the autocorrelation function of a time series that is measured with error
Hansen, Peter Reinhard; Lunde, Asger - In: Econometric theory 30 (2014) 1, pp. 60-93
Persistent link: https://www.econbiz.de/10010399787