Efficient asymptotic variance reduction when estimating volatility in high frequency data (Q1668576): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Created claim: Wikidata QID (P12): Q129673291, #quickstatements; #temporary_batch_1728564459526 |
||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q129673291 / rank | |||
Normal rank | |||
Revision as of 13:54, 10 October 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient asymptotic variance reduction when estimating volatility in high frequency data |
scientific article |
Statements
Efficient asymptotic variance reduction when estimating volatility in high frequency data (English)
0 references
29 August 2018
0 references
high frequency data
0 references
jumps
0 references
market microstructure noise
0 references
integrated volatility
0 references
quasi-maximum likelihood estimator
0 references
realized kernels
0 references
stochastic sampling times
0 references
block estimates
0 references
0 references
0 references
0 references
0 references
0 references
0 references
