Volatility and covariation estimation when microstructure noise and trading times are endogenous (Q4906543)
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scientific article; zbMATH DE number 6139595
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| English | Volatility and covariation estimation when microstructure noise and trading times are endogenous |
scientific article; zbMATH DE number 6139595 |
Statements
VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (English)
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28 February 2013
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microstructure noise
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ultra high-frequency data
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volatility
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covariation
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endogenous trading times
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asynchronous data
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stopping times
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martingales
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0.8379855155944824
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0.8324646949768066
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0.829068660736084
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0.8240436315536499
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0.82286137342453
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