Microstructure noise in the continuous case: the pre-averaging approach (Q2389230)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Microstructure noise in the continuous case: the pre-averaging approach |
scientific article |
Statements
Microstructure noise in the continuous case: the pre-averaging approach (English)
0 references
15 July 2009
0 references
consistency
0 references
continuity
0 references
discrete observation
0 references
Itô process
0 references
leverage effect
0 references
pre-averaging
0 references
quarticity
0 references
realized volatility
0 references
stable convergence
0 references
