Bias-corrected realized variance under dependent microstructure noise (Q543443): Difference between revisions

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@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
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@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
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@@ Property / Mathematics Subject Classification ID: 91G70 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
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@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
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@@ Property / zbMATH DE Number: 5909200 / rank @@
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@@ Property / zbMATH Keywords @@
+two time scales
@@ Property / zbMATH Keywords: two time scales / rank @@
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+https://doi.org/10.1016/j.matcom.2010.04.017
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@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Realized Volatility: A Review
@@ Property / cites work: Realized Volatility: A Review / rank @@
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@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:543443