Are volatility estimators robust with respect to modeling assumptions? (Q2469643)
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scientific article; zbMATH DE number 5232958
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| English | Are volatility estimators robust with respect to modeling assumptions? |
scientific article; zbMATH DE number 5232958 |
Statements
Are volatility estimators robust with respect to modeling assumptions? (English)
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6 February 2008
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bias correction
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local time
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market microstructure
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martingale
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measurement error
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realized volatility
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robustness
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subsampling
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two scales realized volatility (TSRV)
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0.7950406670570374
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0.7851660847663879
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0.781222939491272
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0.772495448589325
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0.7640840411186218
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