On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps

By Jing Bing-Yi   Li Cui-Xia   Liu Zhi  

Communications in Statistics: Theory and Methods, Vol. 42, Iss. 21, 2013-11 ,pp. : 3889-3901

Taylor & Francis Ltd

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The Estimation of Leverage Effect With High-Frequency Data

By Wang Christina D.   Mykland Per A.  

Journal of the American Statistical Association, Vol. 109, Iss. 505, 2014-01 ,pp. : 197-215

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Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure

By Bi Tao  

Communications in Statistics: Simulation and Computation, Vol. 42, Iss. 4, 2013-04 ,pp. : 741-754

Taylor & Francis Ltd

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Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling

By Kawai Reiichiro  

Communications in Statistics: Theory and Methods, Vol. 42, Iss. 9, 2013-05 ,pp. : 1628-1636

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Using the Reversible Jump MCMC Procedure for Identifying and Estimating Univariate TAR Models

By Nieto Fabio H.  

Communications in Statistics: Simulation and Computation, Vol. 42, Iss. 4, 2013-04 ,pp. : 814-840

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