Ultra high frequency volatility estimation with dependent microstructure noise (Q737274): Difference between revisions
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Revision as of 01:33, 11 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Ultra high frequency volatility estimation with dependent microstructure noise |
scientific article |
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Ultra high frequency volatility estimation with dependent microstructure noise (English)
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10 August 2016
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market microstructure
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serial dependence
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high frequency data
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realized volatility
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subsampling
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two scales realized volatility
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multiple scales realized volatility
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