Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144)
From MaRDI portal
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use this page instead for the normal view: Dependent microstructure noise and integrated volatility estimation from high-frequency data
scientific article; zbMATH DE number 7202735
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Dependent microstructure noise and integrated volatility estimation from high-frequency data |
scientific article; zbMATH DE number 7202735 |
Statements
Dependent microstructure noise and integrated volatility estimation from high-frequency data (English)
0 references
21 May 2020
0 references
dependent microstructure noise
0 references
realized volatility
0 references
bias correction
0 references
integrated volatility
0 references
pre-averaging method
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8514797687530518
0 references
0.8320145606994629
0 references
0.8207970261573792
0 references
0.8185207843780518
0 references
0.8178229928016663
0 references
