Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s42081-020-00104-w / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3127274554 / rank | |||
Normal rank | |||
Latest revision as of 22:14, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting factors of quadratic variation in the presence of market microstructure noise |
scientific article |
Statements
Detecting factors of quadratic variation in the presence of market microstructure noise (English)
0 references
17 December 2021
0 references
Itô semimartingales
0 references
high-frequency financial data
0 references
market microstructure noise
0 references
quadratic variation
0 references
hidden factors
0 references
SIML estimation
0 references
characteristic roots and vectors
0 references
limiting distributions
0 references
