Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254)
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scientific article; zbMATH DE number 6596542
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| English | Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error |
scientific article; zbMATH DE number 6596542 |
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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (English)
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22 June 2016
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endogenous noise
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market microstructure
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realised volatility
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semimartingale
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0.8610789
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0.8261306
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0.82260686
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0.81069636
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