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Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling · Study

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ArticleLimit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling

Yuta Koike2014

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Articlebronze2014

Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling

28 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Statistical Methods and Inference

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References

1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2003Limit Theorems for Stochastic Processes 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 2006Realized Variance and Market Microstructure Noise 2008Microstructure noise in the continuous case: The pre-averaging approach

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2020Estimation for high-frequency data under parametric market microstructure noise

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Year2014

Typearticle

Published2014-03-28

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2014.03.008

openalex_workW2166023458

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