Browsing All of EconStor by Author Vetter, Mathias
Showing results 1 to 7 of 7
Year of Publication | Title | Author(s) |
2004 | Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing | Vetter, Mathias; Podolskij, Mark; Dette, Holger |
2006 | Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise | Christensen, Kim; Podolskij, Mark; Vetter, Mathias |
2006 | Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps | Vetter, Mathias; Podolskij, Mark |
2007 | Microstructure noise in the continuous case: the pre-averaging approach | Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias |
2008 | Bipower-type estimation in a noisy diffusion setting | Podolskij, Mark; Vetter, Mathias |
2013 | Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps | Bibinger, Markus; Vetter, Mathias |
2015 | Nonparametric change-point analysis of volatility | Bibinger, Markus; Jirak, Moritz; Vetter, Mathias |