Realized range-based estimation of integrated variance

DOI10.1016/J.JECONOM.2006.06.012zbMath1418.62294OpenAlexW2081845631MaRDI QIDQ289157

Publication date: 27 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.06.012

zbMATH Keywords

central limit theorem continuous semimartingales integrated variance realized range-based variance realized variance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Generalizations of martingales (60G48)

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