Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576): Difference between revisions

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Revision as of 12:28, 16 July 2024

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Efficient asymptotic variance reduction when estimating volatility in high frequency data
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    Efficient asymptotic variance reduction when estimating volatility in high frequency data (English)
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    29 August 2018
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    high frequency data
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    jumps
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    market microstructure noise
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    integrated volatility
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    quasi-maximum likelihood estimator
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    realized kernels
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    stochastic sampling times
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    block estimates
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