Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576): Difference between revisions
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Latest revision as of 03:02, 11 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient asymptotic variance reduction when estimating volatility in high frequency data |
scientific article |
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Efficient asymptotic variance reduction when estimating volatility in high frequency data (English)
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29 August 2018
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high frequency data
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jumps
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market microstructure noise
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integrated volatility
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quasi-maximum likelihood estimator
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realized kernels
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stochastic sampling times
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block estimates
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