Microstructure noise in the continuous case: the pre-averaging approach (Q2389230): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Microstructure noise in the continuous case: the pre-averaging approach |
scientific article |
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Microstructure noise in the continuous case: the pre-averaging approach (English)
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15 July 2009
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consistency
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continuity
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discrete observation
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Itô process
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leverage effect
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pre-averaging
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quarticity
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realized volatility
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stable convergence
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