Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B24 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6596542 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
endogenous noise | |||
| Property / zbMATH Keywords: endogenous noise / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
market microstructure | |||
| Property / zbMATH Keywords: market microstructure / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
realised volatility | |||
| Property / zbMATH Keywords: realised volatility / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
semimartingale | |||
| Property / zbMATH Keywords: semimartingale / rank | |||
Normal rank | |||
Revision as of 21:33, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error |
scientific article |
Statements
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (English)
0 references
22 June 2016
0 references
endogenous noise
0 references
market microstructure
0 references
realised volatility
0 references
semimartingale
0 references
