Asymptotic equivalence for inference on the volatility from noisy observations (Q548535): Difference between revisions
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| Property / author: Markus Reiss / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 62B15 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G44 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / zbMATH DE Number: 5914731 / rank | |||
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high-frequency data | |||
| Property / zbMATH Keywords: high-frequency data / rank | |||
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diffusions with measurement error | |||
| Property / zbMATH Keywords: diffusions with measurement error / rank | |||
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microstructure noise | |||
| Property / zbMATH Keywords: microstructure noise / rank | |||
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integrated volatility | |||
| Property / zbMATH Keywords: integrated volatility / rank | |||
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spot volatility estimation | |||
| Property / zbMATH Keywords: spot volatility estimation / rank | |||
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Le Cam deficiency | |||
| Property / zbMATH Keywords: Le Cam deficiency / rank | |||
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equivalence of experiments | |||
| Property / zbMATH Keywords: equivalence of experiments / rank | |||
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Gaussian shift | |||
| Property / zbMATH Keywords: Gaussian shift / rank | |||
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Revision as of 13:01, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic equivalence for inference on the volatility from noisy observations |
scientific article |
Statements
Asymptotic equivalence for inference on the volatility from noisy observations (English)
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29 June 2011
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high-frequency data
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diffusions with measurement error
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microstructure noise
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integrated volatility
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spot volatility estimation
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Le Cam deficiency
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equivalence of experiments
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Gaussian shift
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