Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Between data cleaning and inference: pre-averaging and robust estimators of the efficient price |
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Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (English)
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6 September 2016
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consistency
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cumulants
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contiguity
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continuity
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discrete observation
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efficiency
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equivalent martingale measure
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high frequency data
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jumps
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leverage effect
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M-estimation
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medianisation
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microstructure
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pre-averaging
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realised beta
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realised volatility
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robust estimation
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semi-martingale
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stable convergence
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