Estimating the integrated volatility using high-frequency data with zero durations (Q1745612): Difference between revisions
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Revision as of 23:19, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the integrated volatility using high-frequency data with zero durations |
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Estimating the integrated volatility using high-frequency data with zero durations (English)
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18 April 2018
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Itô semimartingale
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high frequency data
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multiple transactions
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realized power variations
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microstructure noise
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central limit theorem
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asymptotic distribution
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