Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366)
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scientific article; zbMATH DE number 6623655
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| English | Between data cleaning and inference: pre-averaging and robust estimators of the efficient price |
scientific article; zbMATH DE number 6623655 |
Statements
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (English)
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6 September 2016
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consistency
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cumulants
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contiguity
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continuity
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discrete observation
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efficiency
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equivalent martingale measure
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high frequency data
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jumps
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leverage effect
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M-estimation
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medianisation
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microstructure
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pre-averaging
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realised beta
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realised volatility
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robust estimation
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semi-martingale
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stable convergence
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0.8448549509048462
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0.8267571926116943
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0.789892315864563
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0.7768499255180359
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0.7732546925544739
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