Asymptotic equivalence for inference on the volatility from noisy observations (Q548535)
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scientific article; zbMATH DE number 5914731
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| English | Asymptotic equivalence for inference on the volatility from noisy observations |
scientific article; zbMATH DE number 5914731 |
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Asymptotic equivalence for inference on the volatility from noisy observations (English)
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29 June 2011
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high-frequency data
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diffusions with measurement error
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microstructure noise
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integrated volatility
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spot volatility estimation
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Le Cam deficiency
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equivalence of experiments
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Gaussian shift
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0.7971124053001404
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0.7852588295936584
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0.7816627025604248
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0.7772575616836548
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0.7739466428756714
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