Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? (Q3539874): Difference between revisions
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| Property / cites work: Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics / rank | |||
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| Property / cites work: A Tale of Two Time Scales / rank | |||
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Latest revision as of 20:40, 28 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? |
scientific article |
Statements
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? (English)
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19 November 2008
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market microstructure noise
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optimal sampling
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pure jump process
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realized variance
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tick time
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transaction time
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