Microstructure noise in the continuous case: the pre-averaging approach (Q2389230)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5578975
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Microstructure noise in the continuous case: the pre-averaging approach |
scientific article; zbMATH DE number 5578975 |
Statements
Microstructure noise in the continuous case: the pre-averaging approach (English)
0 references
15 July 2009
0 references
consistency
0 references
continuity
0 references
discrete observation
0 references
Itô process
0 references
leverage effect
0 references
pre-averaging
0 references
quarticity
0 references
realized volatility
0 references
stable convergence
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.9015296101570128
0 references
0.8237193822860718
0 references
0.8178229928016663
0 references
0.8138889074325562
0 references
