Detecting factors of quadratic variation in the presence of market microstructure noise (Q825352)
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scientific article; zbMATH DE number 7447497
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| English | Detecting factors of quadratic variation in the presence of market microstructure noise |
scientific article; zbMATH DE number 7447497 |
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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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0.9301641
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0.89114064
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0.8633069
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0.8581534
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0.85397863
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0.8455112
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0.8363055
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