A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (Q1706484)
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scientific article; zbMATH DE number 6852110
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| English | A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise |
scientific article; zbMATH DE number 6852110 |
Statements
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise (English)
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22 March 2018
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high-frequency data
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rounding errors
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market microstructure noise
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integrated volatility
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realized volatility
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volatility estimation
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central limit theorems
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0.7888749241828918
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0.774634063243866
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0.772337019443512
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0.7624136805534363
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