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Between Data Cleaning and Inference: Pre-Averaging and Robust Estimators of the Efficient Price
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The 93 checked references that resolve
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Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
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Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
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Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
resolves10.1017/S026646661300011X
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
resolves10.1007/978-3-540-30788-4_3
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
resolves10.2139/ssrn.620203
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise
resolves10.1111/1467-9868.00282
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
resolves10.1111/1467-9868.00336
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
resolves10.1111/j.1468-0262.2004.00515.x
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
resolves10.1214/14-AOS1224
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
resolves10.1016/j.jeconom.2010.03.033
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
resolves10.1016/j.jeconom.2010.05.001
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
resolves10.1007/s002080050220
The fundamental theorem of asset pricing for unbounded stochastic processes
resolves10.1214/aos/1176348890
Breakdown Properties of Location Estimates Based on Halfspace Depth and Projected Outlyingness
resolves10.2139/ssrn.957607
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
resolves10.1016/j.spa.2008.11.004
Microstructure noise in the continuous case: The pre-averaging approach
resolves10.1214/aop/1022855419
Asymptotic error distributions for the Euler method for stochastic differential equations
resolves10.1214/13-aos1179
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
resolves10.2139/ssrn.2008690
Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation
resolves10.1214/088342305000000458
Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics
resolves10.3982/ecta12501
Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
resolves10.3150/08-bej167
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
resolves10.1214/10-AOS855
Asymptotic equivalence for inference on the volatility from noisy observations
resolves10.1111/j.1467-9965.2010.00454.x
VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
resolves10.1214/aop/1176994774
Limit Distributions for the Error in Approximations of Stochastic Integrals
resolves10.3150/14-bej648
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
resolves10.1016/j.jeconom.2010.07.002
Quasi-maximum likelihood estimation of volatility with high frequency data
resolves10.3150/bj/1165269149
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
The 32 references without a DOI — listed, not checked
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no DOI — not checkedVolatility estimators for discretely sampled L�vy processes
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no DOI — not checkedGreat realizations
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no DOI — not checkedOn stable sequences of events
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no DOI — not checkedF-consistency, de-volatization and normalization of high frequency financial data
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