A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises (Q6574582)
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scientific article; zbMATH DE number 7883114
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| English | A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises |
scientific article; zbMATH DE number 7883114 |
Statements
A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises (English)
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18 July 2024
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combined filters
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high-frequency data
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integrated volatility
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market microstructure noise
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price discreteness
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