The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (Q1739634)
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scientific article; zbMATH DE number 7048310
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| English | The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times |
scientific article; zbMATH DE number 7048310 |
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The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times (English)
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26 April 2019
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asynchronous times
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consistency
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discrete observation
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efficiency
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endogenous times
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equivalent martingale measure
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irregular times
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Itô process
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leads and lags
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leverage effect
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microstructure
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pre-averaging
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realized volatility
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robust estimation
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stable convergence
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two scales estimation
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