Volatility estimation under one-sided errors with applications to limit order books (Q350689): Difference between revisions
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| Property / Mathematics Subject Classification ID: 60G48 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / zbMATH DE Number: 6662298 / rank | |||
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semimartingale | |||
| Property / zbMATH Keywords: semimartingale / rank | |||
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volatility estimation | |||
| Property / zbMATH Keywords: volatility estimation / rank | |||
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Brownian excursion area | |||
| Property / zbMATH Keywords: Brownian excursion area / rank | |||
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limit order book | |||
| Property / zbMATH Keywords: limit order book / rank | |||
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nonparametric minimax rate | |||
| Property / zbMATH Keywords: nonparametric minimax rate / rank | |||
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high-frequency data | |||
| Property / zbMATH Keywords: high-frequency data / rank | |||
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Poisson point process | |||
| Property / zbMATH Keywords: Poisson point process / rank | |||
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Revision as of 08:19, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility estimation under one-sided errors with applications to limit order books |
scientific article |
Statements
Volatility estimation under one-sided errors with applications to limit order books (English)
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9 December 2016
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semimartingale
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volatility estimation
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Brownian excursion area
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limit order book
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nonparametric minimax rate
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high-frequency data
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Poisson point process
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