Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
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Publication:1023629
DOI10.1016/j.csda.2007.07.014zbMath1452.62780OpenAlexW2073583519MaRDI QIDQ1023629
Maria Elvira Mancino, Simona Sanfelici
Publication date: 12 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2007.07.014
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)
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- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- A Tale of Two Time Scales
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