Estimating the integrated volatility using high-frequency data with zero durations (Q1745612)
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scientific article; zbMATH DE number 6861165
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| English | Estimating the integrated volatility using high-frequency data with zero durations |
scientific article; zbMATH DE number 6861165 |
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Estimating the integrated volatility using high-frequency data with zero durations (English)
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18 April 2018
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Itô semimartingale
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high frequency data
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multiple transactions
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realized power variations
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microstructure noise
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central limit theorem
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asymptotic distribution
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0.823303759098053
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0.8018301725387573
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0.7992825508117676
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0.7941094040870667
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0.7931199669837952
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