Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise (Q3567037): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2137477111 / rank | |||
Normal rank | |||
Latest revision as of 00:31, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise |
scientific article |
Statements
Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise (English)
0 references
10 June 2010
0 references
bias correction
0 references
market microstructure noise
0 references
realized volatility
0 references
multiscale inference
0 references
Whittle likelihood
0 references
