Are volatility estimators robust with respect to modeling assumptions? (Q2469643): Difference between revisions

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Latest revision as of 08:21, 30 July 2024

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Are volatility estimators robust with respect to modeling assumptions?
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    Are volatility estimators robust with respect to modeling assumptions? (English)
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    6 February 2008
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    bias correction
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    local time
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    market microstructure
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    martingale
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    measurement error
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    realized volatility
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    robustness
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    subsampling
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    two scales realized volatility (TSRV)
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