Local SIML estimation of some Brownian and jump functionals under market micro-structure noise (Q2103295)
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scientific article; zbMATH DE number 7632482
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| English | Local SIML estimation of some Brownian and jump functionals under market micro-structure noise |
scientific article; zbMATH DE number 7632482 |
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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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0.87627155
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0.85894823
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0.85433865
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0.84880525
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0.8465158
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0.84224784
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0.84213954
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0.84056145
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