72 citations · 178 across the 21 of their papers we have counts for
Showing 2011 · math.STShow all
3 papers · 2 filters
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
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Markus Bibinger
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high…
math.ST2011
Asymptotics of Asynchronicity
Markus Bibinger
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hay…