Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting factors of quadratic variation in the presence of market microstructure noise |
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Detecting factors of quadratic variation in the presence of market microstructure noise (English)
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17 December 2021
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Itô semimartingales
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high-frequency financial data
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market microstructure noise
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quadratic variation
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hidden factors
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SIML estimation
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characteristic roots and vectors
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limiting distributions
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