Microstructure noise in the continuous case: the pre-averaging approach (Q2389230)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Microstructure noise in the continuous case: the pre-averaging approach
scientific article

    Statements

    Microstructure noise in the continuous case: the pre-averaging approach (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    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

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references