Volatility inference in the presence of both endogenous time and microstructure noise (Q2447650)
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scientific article; zbMATH DE number 6289379
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| English | Volatility inference in the presence of both endogenous time and microstructure noise |
scientific article; zbMATH DE number 6289379 |
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Volatility inference in the presence of both endogenous time and microstructure noise (English)
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28 April 2014
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Itô processes
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realized volatility
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integrated volatility
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time endogeneity
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market microstructure noise
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0.8533974289894104
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0.8379855155944824
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0.8101608157157898
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0.7986928224563599
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0.7985742688179016
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