Make use of personalized features like alerts and saved searches
Building 350
DK-8000 Aarhus C
Denmark
Aarhus University - School of Business and Social Sciences
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
jump variation, high-frequency data, market microstructure noise, pre-averaging, realised variation, outliers
consistency, continuity, discrete observation, Itý process, leverage effect, pre-averaging, quarticity, realized volatility, stable convergence
Central limit theorem, Diffusion models, High-frequency data, Market microstructure noise, Non-synchronous trading, Pre-averaging, Realised covariance
central limit theorem, high frequency observations, semimartingale, stable convergence
bipower variation; high-frequency data; microstructure noise; positive semi-definite estimation; pre-averaging; stochastic volatility; subsampling
Bipower variation; bootstrapping; diurnal variation; high-frequency data; microstructure noise; pre-averaging; time-varying volatility
Central Limit Theorem, Diffusion Models, Market Microstructure Noise, Non-synchronous Trading, High-Frequency Data, Semimartingale Theory
Bipower Variation, Central Limit Theorem, Chaos Expansion, Gaussian Processes, Multiple Wiener-Itô Integrals
Central Limit Theorem, High-Frequency Data, Microstructure Noise, Semimartingale Theory, Tests for Jumps, Truncated Power Variation
Brownian semi-stationary processes, central limit theorem, Gaussian processes, high frequency observations, higher order differences, multipower variation, stable convergence
Central Limit Theorem, Gaussian Processes, Intermittency, Nonsemimartingales, Turbulence, Volatility, Wiener Chaos
Bipower Variation, Central Limit Theorem, High-Frequency Data, Microstructure Noise, Quadratic Variation, Semimartingale Theory, Test for Jumps
central limit theorem, high frequency observations, microstructure noise, quadratic variation, semimartingale, stable convergence
Bipower Variation, Central Limit Theorem, Diffusion Models, Goodness-Of- Fit Testing, High-Frequency Data, Integrated Volatility, Range-Based Bipower Variation, Semimartingale Theory
Bernstein's inequality, LASSO estimation, low rank estimation, quadratic variation, rank recovery, realized variance, shrinkage estimator.
