Spot volatility estimation using delta sequences

Estimating spot volatility with high-frequency financial data

(2014) Yang Zu et al.   JOURNAL OF ECONOMETRICS

Quarticity and other functionals of volatility: Efficient estimation

(2013) Jean Jacod et al.   ANNALS OF STATISTICS

Spot volatility estimation for high-frequency data

(2013) Jianqing Fan et al.   Statistics and Its Interface

Inference for volatility-type objects and implications for hedging

(2013) Per A. Mykland et al.   Statistics and Its Interface

Adaptive wavelet estimation of the diffusion coefficient under additive error measurements

(2012) M. Hoffmann et al.   ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES

Do price and volatility jump together?

(2010) Jean Jacod et al.   ANNALS OF APPLIED PROBABILITY

Threshold bipower variation and the impact of jumps on volatility forecasting

(2010) Fulvio Corsi et al.   JOURNAL OF ECONOMETRICS

Threshold estimation of Markov models with jumps and interest rate modeling

(2010) Cecilia Mancini et al.   JOURNAL OF ECONOMETRICS

A Fourier transform method for nonparametric estimation of multivariate volatility

(2009) Paul Malliavin et al.   ANNALS OF STATISTICS

Testing for jumps in a discretely observed process

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

Testing for common arrivals of jumps for discretely observed multidimensional processes

(2009) Jean Jacod et al.   ANNALS OF STATISTICS

Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

(2009) Mark Podolskij et al.   BERNOULLI

Non-parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

(2009) CECILIA MANCINI   SCANDINAVIAN JOURNAL OF STATISTICS

Bipower-type estimation in a noisy diffusion setting

(2009) Mark Podolskij et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES

(2009) Almut E.D. Veraart   ECONOMETRIC THEORY

NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH

(2009) Dennis Kristensen   ECONOMETRIC THEORY

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

(2008)   ECONOMETRICA

Microstructure noise in the continuous case: The pre-averaging approach

(2008) Jean Jacod et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS

(2008) Roberto Renò   ECONOMETRIC THEORY

Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise

(2007) M.E. Mancino et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS