Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance (Q4612494)
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scientific article; zbMATH DE number 7009628
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance |
scientific article; zbMATH DE number 7009628 |
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Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance (English)
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31 January 2019
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asynchronous times
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consistency
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discrete observation
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edge effect
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irregular times
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leverage effect
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microstructure
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observed information
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realized volatility
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robust estimation
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semimartingale
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standard error
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two-scales estimation
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volatility of volatility
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