91 citations · 585 across the 27 of their papers we have counts for
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math.ST2011★ 1 cited
Spectral covolatility estimation from noisy observations using local weights
Markus Bibinger, Markus Reiß
We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation nois…
math.ST2011★ 91 cited
Asymptotic equivalence for inference on the volatility from noisy observations
Markus Reiß
We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient…
math.ST2011
Asymptotic Equivalence for Nonparametric Regression with Non-Regular Errors
Alexander Meister, Markus Reiß
Asymptotic equivalence in Le Cam's sense for nonparametric regression experiments is extended to the case of non-regular error densities, which have jump discontinuities at their e…