Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352): Difference between revisions

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Latest revision as of 13:32, 27 July 2024

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Detecting factors of quadratic variation in the presence of market microstructure noise
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    Detecting factors of quadratic variation in the presence of market microstructure noise (English)
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    17 December 2021
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    Itô semimartingales
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    high-frequency financial data
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    market microstructure noise
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    quadratic variation
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    hidden factors
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    SIML estimation
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    characteristic roots and vectors
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    limiting distributions
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