Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144)
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scientific article
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| English | Dependent microstructure noise and integrated volatility estimation from high-frequency data |
scientific article |
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Dependent microstructure noise and integrated volatility estimation from high-frequency data (English)
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21 May 2020
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dependent microstructure noise
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realized volatility
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bias correction
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integrated volatility
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pre-averaging method
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0.8514797687530518
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0.8320145606994629
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0.8207970261573792
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0.8185207843780518
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0.8178229928016663
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