Microstructure noise in the continuous case: the pre-averaging approach (Q2389230): Difference between revisions

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Property / author: Ying-Ying Li / rank
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Property / full work available at URL: https://doi.org/10.1016/j.spa.2008.11.004 / rank
 
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Latest revision as of 19:32, 1 July 2024

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Microstructure noise in the continuous case: the pre-averaging approach
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    Microstructure noise in the continuous case: the pre-averaging approach (English)
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    15 July 2009
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    consistency
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    continuity
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    discrete observation
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    Itô process
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    leverage effect
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    pre-averaging
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    quarticity
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    realized volatility
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    stable convergence
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