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Technische Universität Dortmund
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund
Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund
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Technische Universität Dortmund
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund
Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund
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Year of Publication
Title
Author(s)
2006
Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise
Christensen, Kim
;
Podolskij, Mark
;
Vetter, Mathias
2006
Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
Vetter, Mathias
;
Podolskij, Mark
2006
Range-Based Estimation of Quadratic Variation
Christensen, Kim
;
Podolskij, Mark
2007
Microstructure noise in the continuous case: the pre-averaging approach
Jacod, Jean
;
Li, Yingying
;
Mykland, Per A.
;
Podolskij, Mark
;
Vetter, Mathias
2004
Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing
Vetter, Mathias
;
Podolskij, Mark
;
Dette, Holger
2004
A central limit theorem for realised power and bipower variations of continuous semimartingales
Barndorff-Nielsen, Ole Eiler
;
Graversen, Svend Erik
;
Jacod, Jean
;
Podolskij, Mark
2008
Bipower-type estimation in a noisy diffusion setting
Podolskij, Mark
;
Vetter, Mathias
2005
Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach
Dette, Holger
;
Podolskij, Mark
Author
5
Vetter, Mathias
2
Christensen, Kim
2
Dette, Holger
2
Jacod, Jean
1
Barndorff-Nielsen, Ole Eiler
1
Graversen, Svend Erik
1
Li, Yingying
1
Mykland, Per A.
year of Publication
1
2008
1
2007
3
2006
1
2005
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2004