Local SIML estimation of some Brownian and jump functionals under market micro-structure noise (Q2103295)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Local SIML estimation of some Brownian and jump functionals under market micro-structure noise |
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Local SIML estimation of some Brownian and jump functionals under market micro-structure noise (English)
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13 December 2022
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high-frequency data analysis
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integrated volatility
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separating information maximum likelihood (SIML)
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higher order Brownian and jump functionals
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stable convergence
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local SIML estimation
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