ScienceGate
Advanced Search
Author Search
Journal Finder
Blog
Sign in / Sign up
ScienceGate
Search
Author Search
Journal Finder
Blog
Sign in / Sign up
Adaptive testing method for ergodic diffusion processes based on high frequency data
Journal of Statistical Planning and Inference
◽
10.1016/j.jspi.2021.08.004
◽
2021
◽
Author(s):
Tetsuya Kawai
◽
Masayuki Uchida
Keyword(s):
High Frequency
◽
Diffusion Processes
◽
Adaptive Testing
◽
High Frequency Data
◽
Frequency Data
◽
Testing Method
◽
Ergodic Diffusion
Download Full-text
Related Documents
Cited By
References
Estimation for the invariant law of an ergodic diffusion process based on high-frequency data
Journal of Nonparametric Statistics
◽
10.1080/10485252.2011.591397
◽
2011
◽
Vol 23
(4)
◽
pp. 909-915
Author(s):
Yoichi Nishiyama
Keyword(s):
Diffusion Process
◽
High Frequency
◽
High Frequency Data
◽
Frequency Data
◽
Ergodic Diffusion Process
◽
Ergodic Diffusion
Download Full-text
On measuring volatility of diffusion processes with high frequency data
Economics Letters
◽
10.1016/s0165-1765(01)00572-9
◽
2002
◽
Vol 74
(3)
◽
pp. 371-378
◽
Cited By ~ 43
Author(s):
Emilio Barucci
◽
Roberto Renò
Keyword(s):
High Frequency
◽
Diffusion Processes
◽
High Frequency Data
◽
Frequency Data
Download Full-text
Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data
SSRN Electronic Journal
◽
10.2139/ssrn.2188542
◽
2012
◽
Author(s):
Sobhesh Kumar Agarwalla
◽
Joshy Jacob
◽
Ajay Pandey
Keyword(s):
Stock Market
◽
High Frequency
◽
Price Discovery
◽
High Frequency Data
◽
Frequency Data
◽
Call Auction
◽
Indian Stock Market
Download Full-text
High Frequency Data in Finance: A Study of the Indian Equity Markets
SSRN Electronic Journal
◽
10.2139/ssrn.300343
◽
2003
◽
Author(s):
Susan Thomas
Keyword(s):
High Frequency
◽
Equity Markets
◽
High Frequency Data
◽
Frequency Data
Download Full-text
Efficient Estimation of Volatility using High Frequency Data
SSRN Electronic Journal
◽
10.2139/ssrn.306002
◽
2002
◽
Cited By ~ 12
Author(s):
Gilles O. Zumbach
◽
Fulvio Corsi
◽
Adrian Trapletti
Keyword(s):
High Frequency
◽
Efficient Estimation
◽
High Frequency Data
◽
Frequency Data
Download Full-text
Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data
SSRN Electronic Journal
◽
10.2139/ssrn.3099650
◽
2017
◽
Author(s):
Rim mname Lamouchi
◽
Russell mname Davidson
◽
Ibrahim mname Fatnassi
◽
Abderazak Ben mname Maatoug
Keyword(s):
Exchange Rate
◽
High Frequency
◽
Realized Volatility
◽
High Frequency Data
◽
Frequency Data
Download Full-text
Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''
SSRN Electronic Journal
◽
10.2139/ssrn.3472122
◽
2019
◽
Author(s):
Z. Merrick Li
◽
Michel Vellekoop
◽
Roger Jean Auguste Laeven
Keyword(s):
High Frequency
◽
High Frequency Data
◽
Frequency Data
◽
Microstructure Noise
◽
Volatility Estimation
◽
Integrated Volatility
◽
Supplementary Material
Download Full-text
Stochastic Volatility: A Tale of Co-Jumps, Non-Normality, GMM and High Frequency Data
SSRN Electronic Journal
◽
10.2139/ssrn.3549884
◽
2019
◽
Author(s):
Christian-Oliver Ewald
◽
Yihan Zou
Keyword(s):
Stochastic Volatility
◽
High Frequency
◽
High Frequency Data
◽
Frequency Data
Download Full-text
Profitability of Trading Strategies on High-Frequency Data, with Trading Costs
SSRN Electronic Journal
◽
10.2139/ssrn.568363
◽
2004
◽
Cited By ~ 1
Author(s):
Tirthankar C. Patnaik
◽
Susan Thomas
Keyword(s):
High Frequency
◽
Trading Strategies
◽
High Frequency Data
◽
Frequency Data
◽
Trading Costs
Download Full-text
A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data
SSRN Electronic Journal
◽
10.2139/ssrn.2741911
◽
2016
◽
Cited By ~ 2
Author(s):
Yacine Ait-Sahalia
◽
Dacheng Xiu
Keyword(s):
Market Microstructure
◽
High Frequency
◽
High Frequency Data
◽
Frequency Data
◽
Microstructure Noise
◽
Hausman Test
◽
Market Microstructure Noise
Download Full-text
Sign in / Sign up
Close
Export Citation Format
Close
Share Document
Close