Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance

DOI10.3982/ECTA12501zbMath1410.62208OpenAlexW3121566120MaRDI QIDQ4612494

Per Aslak Mykland, Lan Zhang

Publication date: 31 January 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta12501

zbMATH Keywords

microstructureconsistencyrobust estimationleverage effectsemimartingalerealized volatilityvolatility of volatilitydiscrete observationedge effectobserved informationasynchronous timesstandard errorirregular timestwo-scales estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10)

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