Realised quantile-based estimation of the integrated variance (Q736690)
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scientific article; zbMATH DE number 6609322
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| English | Realised quantile-based estimation of the integrated variance |
scientific article; zbMATH DE number 6609322 |
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Realised quantile-based estimation of the integrated variance (English)
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4 August 2016
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finite activity jumps
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market microstructure noise
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order statistics
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outliers
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realised variance
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0.93908346
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0.87025434
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0.86108243
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0.85737586
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0.8555829
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