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Publications by S. C. Olhede

Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise

Multiscale Modeling and Simulation

Computer Science Applications

Ecological Modeling

English

'Analytic' Wavelet Thresholding

Applied Mathematics

Biological Sciences

English

Related publications

Model-Based Estimation of High Frequency Jump Diffusions With Microstructure Noise and Stochastic Volatility

SSRN Electronic Journal

English

On the Cramer-Rao Bound for Carrier Frequency Estimation in the Presence of Phase Noise

IEEE Transactions on Wireless Communications

Electronic Engineering

Applied Mathematics

Computer Science Applications

English

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

Journal of Empirical Finance

English

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

English

Wavelet Estimation for Derivative of a Density in the Presence of Additive Noise

Brazilian Journal of Probability and Statistics

English

Second Order Itô Processes

Nagoya Mathematical Journal

English

High Frequency Data, Frequency Domain Inference and Volatility Forecasting

SSRN Electronic Journal

English

Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife

Annals of Statistics

English

Estimating Integrated Volatility Using Absolute High-Frequency Returns

International Journal of Monetary Economics and Finance

English