Functional stable limit theorems for quasi-efficient spectral covolatility estimators (Q744976)
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scientific article
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| English | Functional stable limit theorems for quasi-efficient spectral covolatility estimators |
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Functional stable limit theorems for quasi-efficient spectral covolatility estimators (English)
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12 October 2015
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adaptive estimation
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asymptotic efficiency
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local parametric estimation
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microstructure noise
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integrated volatility
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non-synchronous observations
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0.8091603517532349
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0.8075583577156067
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0.800266444683075
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0.7889204621315002
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0.7889074683189392
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