Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (Q2347451)
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scientific article; zbMATH DE number 6440570
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| English | Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method |
scientific article; zbMATH DE number 6440570 |
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Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method (English)
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27 May 2015
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adaptive estimation
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discrete observation
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efficiency
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high frequency data
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Itô process
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leverage effect
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microstructure
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pre-averaging
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realized volatility
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semi-martingale
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stable convergence
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0.9015296101570128
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0.8267571926116943
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0.8257514834403992
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0.825039267539978
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