Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273)
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scientific article; zbMATH DE number 6610569
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| English | Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations |
scientific article; zbMATH DE number 6610569 |
Statements
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (English)
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10 August 2016
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integrated variance
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realized variance
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microstructure noise
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kernel-based estimators
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0.8667660355567932
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0.8245730996131897
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0.816741406917572
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0.8114007115364075
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0.8107742667198181
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