Ultra high frequency volatility estimation with dependent microstructure noise (Q737274)
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scientific article; zbMATH DE number 6610570
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Ultra high frequency volatility estimation with dependent microstructure noise |
scientific article; zbMATH DE number 6610570 |
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Ultra high frequency volatility estimation with dependent microstructure noise (English)
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10 August 2016
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market microstructure
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serial dependence
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high frequency data
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realized volatility
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subsampling
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two scales realized volatility
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multiple scales realized volatility
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0.9579147
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0.9153504
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0.9134711
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0.8959916
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0.8908027
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0.8894096
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0.8889418
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0.88162166
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