Optimal restricted quadratic estimator of integrated volatility (Q287536)
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scientific article; zbMATH DE number 6583500
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| default for all languages | No label defined |
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| English | Optimal restricted quadratic estimator of integrated volatility |
scientific article; zbMATH DE number 6583500 |
Statements
Optimal restricted quadratic estimator of integrated volatility (English)
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20 May 2016
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high-frequency data
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integrated volatility
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microstructure noise
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signal-to-noise ratio
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stochastic volatility model
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0.8136242032051086
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0.8071401715278625
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0.8053502440452576
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0.8001194000244141
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0.7982221841812134
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