Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? (Q3539874)
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scientific article; zbMATH DE number 5368903
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| English | Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? |
scientific article; zbMATH DE number 5368903 |
Statements
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time? (English)
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19 November 2008
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market microstructure noise
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optimal sampling
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pure jump process
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realized variance
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tick time
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transaction time
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0.795790433883667
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0.7514628171920776
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0.7513424754142761
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0.7457165718078613
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0.7423385381698608
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