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Diffusions with measurement errors. I. Local Asymptotic Normality
2 references·16 citing·41 second hop
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this work references cited by second hop

References

  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1993On the estimation of the diffusion coefficient for multi-dimensional diffusion processes226 cited

Cited by

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  • 2004Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise112 cited
  • 2006How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise111 cited
  • 2009Bipower-type estimation in a noisy diffusion setting109 cited
  • 2010Realised quantile-based estimation of the integrated variance107 cited
  • 2008ANOVA FOR DIFFUSIONS AND ITO PROCESSES1105 cited
  • 2001Diffusions with measurement errors. II. Optimal estimators105 cited
  • 2012The econometrics of high-frequency data90 cited
  • 2004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise88 cited
  • 2011Asymptotic equivalence for inference on the volatility from noisy observations87 cited
  • 2016A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data87 cited
  • 2010VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS

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77 cited
  • 2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics76 cited
  • 2011Fact or Friction: Jumps at Ultra High Frequency74 cited
  • 2010Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data69 cited
  • 2014Econometrics of co-jumps in high-frequency data with noise62 cited