Keywords: سر و صدای میکروارگانیسم; C01; C02; C13; C14; C80; ItoË semimartingale; High frequency data; Multiple transactions; Realized power variations; Microstructure noise; Central limit theorem;
مقالات ISI سر و صدای میکروارگانیسم (ترجمه نشده)
مقالات زیر هنوز به فارسی ترجمه نشده اند.
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Keywords: سر و صدای میکروارگانیسم; C13; C14; G10; G12; High frequency financial data; Spot volatility; Range-based estimation; Kernel estimate; Multiple records; Microstructure noise; Central limit theorem;
Keywords: سر و صدای میکروارگانیسم; Laplace transform; Convolution; Spot volatility; Non-parametric estimation; High frequency data; Microstructure noise; C14; C58;
Keywords: سر و صدای میکروارگانیسم; C10; C80; Bipower variation; Bootstrapping; Diurnal variation; High-frequency data; Microstructure noise; Pre-averaging; Time-varying volatility;
Keywords: سر و صدای میکروارگانیسم; C13; C14; C55; C58; High frequency data; Microstructure noise; Non-synchronous trading; Integrated covariance matrix; Minimum variance portfolio; Nonlinear shrinkage;
Keywords: سر و صدای میکروارگانیسم; C410; G120; Microstructure noise; Noise-to-signal ratio; Realized variance; High-frequency data;
Estimation of a noisy subordinated Brownian motion via two-scales power variations
Keywords: سر و صدای میکروارگانیسم; Geometric Lévy models; Kurtosis and volatility estimation; Power variation estimators; Microstructure noise; Robust estimation methods;
Keywords: سر و صدای میکروارگانیسم; C10; C80; Bipower variation; High-frequency data; Microstructure noise; Positive semi-definite estimation; Pre-averaging; Stochastic volatility; Subsampling;
Keywords: سر و صدای میکروارگانیسم; Forex market; Announcements; Jump detection test; High frequency data; Microstructure noise; Asymmetric GARCH;
Keywords: سر و صدای میکروارگانیسم; C14; G32; E58; Co-jumps; Covolatility estimation; Microstructure noise; Non-synchronous observations; Truncation;
Keywords: سر و صدای میکروارگانیسم; Discrete Fourier transform; Quadratic variation; Microstructure noise; Periodogram; Spectral density; Whittle likelihood;
Keywords: سر و صدای میکروارگانیسم; C14; C80; Jump variation; High-frequency data; Microstructure noise; Pre-averaging; Realized variation;
Keywords: سر و صدای میکروارگانیسم; C13; C14; G10; G12; Itô semi-martingale; High-frequency finance; Co-volatility; Non-synchronous trading; Idiosyncratic jumps; Co-jump; Microstructure noise;
Can microstructure noise explain the MAX effect?
Keywords: سر و صدای میکروارگانیسم; MAX; Lottery; Microstructure noise; Bid-ask errors; Five-factor; G12; G14;
Functional stable limit theorems for quasi-efficient spectral covolatility estimators
Keywords: سر و صدای میکروارگانیسم; 62G05; 62G20; 62M10Adaptive estimation; Asymptotic efficiency; Local parametric estimation; Microstructure noise; Integrated volatility; Non-synchronous observations
Inference on the Lévy measure in case of noisy observations
Keywords: سر و صدای میکروارگانیسم; primary, 60F05, 60G51; secondary, 62M09High frequency data; Lévy process; Microstructure noise; Nonparametric statistics; Weak convergence
The asymptotics of the integrated self-weighted cross volatility estimator
Keywords: سر و صدای میکروارگانیسم; Asynchronous data; Cross volatility; Microstructure noise; Ito semi-martingale;
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Keywords: سر و صدای میکروارگانیسم; 62M10; 62G05; 62G20; 91B84Integrated covolatility; Microstructure noise; Multiscale estimator; Non-synchronous observations; Stable limit theorem
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Keywords: سر و صدای میکروارگانیسم; C32; G14; E44; Efficient return; Macroeconomic announcements; Microstructure noise; Informational volatility;
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Keywords: سر و صدای میکروارگانیسم; C13; C14; C22; Integrated variance; Realized variance; Microstructure noise; Kernel-based estimators;
Bayesian analysis of structural credit risk models with microstructure noises
Keywords: سر و صدای میکروارگانیسم; MCMC; Credit risk; Microstructure noise; Structural models; Deviance information criterion; C11; G12; G32;
Liquidity biases in asset pricing tests
Keywords: سر و صدای میکروارگانیسم; Microstructure noise; Illiquidity; Asset pricing; Return premium; Bias correctionG12; G19
Predictive density estimators for daily volatility based on the use of realized measures
Keywords: سر و صدای میکروارگانیسم; C22; C53; C14; Diffusions; Integrated volatility; Realized volatility measures; Kernels; Microstructure noise;
Bipower-type estimation in a noisy diffusion setting
Keywords: سر و صدای میکروارگانیسم; Bipower variation; Central limit theorem; High-frequency data; Microstructure noise; Quadratic variation; Semimartingale theory; Test for jumps
Realized volatility forecasting and option pricing
Keywords: سر و صدای میکروارگانیسم; C53; G13; Option pricing; Microstructure noise; Volatility forecasting; Economic metrics; Realized variance; Two-scale estimator; Realized kernels;
Separating microstructure noise from volatility
Keywords: سر و صدای میکروارگانیسم; G12; C14; C22Volatility; Volatility timing; Microstructure noise; High frequency data