Bias-corrected realized variance under dependent microstructure noise (Q543443): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1016/j.matcom.2010.04.017 / rank | |||
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| Property / OpenAlex ID: W2022467123 / rank | |||
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| Property / cites work: Microstructure Noise, Realized Variance, and Optimal Sampling / rank | |||
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| Property / cites work: Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations / rank | |||
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| Property / cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise / rank | |||
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| Property / cites work: Realized Volatility: A Review / rank | |||
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| Property / cites work: A Tale of Two Time Scales / rank | |||
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Latest revision as of 05:00, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bias-corrected realized variance under dependent microstructure noise |
scientific article |
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Bias-corrected realized variance under dependent microstructure noise (English)
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17 June 2011
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two time scales
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