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Journal of Business & Economic Statistics Volume 38, 2020 - Issue 3
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Articles

Local Parametric Estimation in High Frequency Data

Yoann PotironFaculty of Business and Commerce, Keio University, 2-15-45 Mita, Minato-ku, Tokyo108-8345, Japan; Correspondence[email protected]
&
Per MyklandDepartment of Statistics, The University of Chicago, 5734 S. University Avenue, Chicago, IL
Pages 679-692 | Published online: 06 May 2019

Citations (5)

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Read on this site (2)

Fabian Mies. (2023) Functional Estimation and Change Detection for Nonstationary Time Series. Journal of the American Statistical Association 118:542, pages 1011-1022.
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Simon Clinet & Yoann Potiron. (2021) Disentangling Sources of High Frequency Market Microstructure Noise. Journal of Business & Economic Statistics 39:1, pages 18-39.
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Articles from other publishers (3)

Kim Christensen & Aleksey Kolokolov. (2023) An Unbounded Intensity Model for Point Processes. SSRN Electronic Journal.
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Seunghyeon Yu & Yoann Potiron. (2022) A Tale of Two Time Scales: Applications in Nonparametric Hawkes Processes With Ito Semimartingale Baseline. SSRN Electronic Journal.
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Simon Clinet & Yoann Potiron. (2018) A Relation between the Efficient, Transaction and Mid Prices: Disentangling Sources of High Frequency Market Microstructure Noise. SSRN Electronic Journal.
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