An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps

Time-varying leverage effects

(2012) Federico M. Bandi et al.   JOURNAL OF ECONOMETRICS

IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS

(2012) Cecilia Mancini et al.   ECONOMETRIC THEORY

Second-order asymptotic expansion for a non-synchronous covariation estimator

(2011) Arnak Dalalyan et al.   ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES

Nonparametric tests for pathwise properties of semimartingales

(2011) Rama Cont et al.   BERNOULLI

Estimating covariation: Epps effect, microstructure noise

(2010) Lan Zhang   JOURNAL OF ECONOMETRICS

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

(2010) Yacine Aït-Sahalia et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Threshold selection in jump-discriminant filter for discretely observed jump processes

(2010) Yasutaka Shimizu   Statistical Methods and Applications

Nonsynchronous covariation process and limit theorems

(2010) Takaki Hayashi et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Estimating the degree of activity of jumps in high frequency data

(2009) Yacine Aït-Sahalia et al.   ANNALS OF STATISTICS

A Fourier transform method for nonparametric estimation of multivariate volatility

(2009) Paul Malliavin et al.   ANNALS OF STATISTICS

Testing for common arrivals of jumps for discretely observed multidimensional processes

(2009) Jean Jacod et al.   ANNALS OF STATISTICS

Realized kernels in practice: trades and quotes

(2009) O. E. Barndorff-Nielsen et al.   Econometrics Journal

Jumps and betas: A new framework for disentangling and estimating systematic risks

(2009) Viktor Todorov et al.   JOURNAL OF ECONOMETRICS

Asymptotic properties of realized power variations and related functionals of semimartingales

(2007) Jean Jacod   STOCHASTIC PROCESSES AND THEIR APPLICATIONS