Spectral analysis of quadratic variation in the presence of market microstructure noise (Q1747456)
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scientific article; zbMATH DE number 6866826
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| English | Spectral analysis of quadratic variation in the presence of market microstructure noise |
scientific article; zbMATH DE number 6866826 |
Statements
Spectral analysis of quadratic variation in the presence of market microstructure noise (English)
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8 May 2018
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jump diffusion
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quadratic variation
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periodogram
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discrete Fourier transform
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spectral density
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market microstructure noise
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0.8283466100692749
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0.8157708048820496
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0.8108125925064087
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0.8039090633392334
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