Microstructure noise in the continuous case: the pre-averaging approach

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DOI10.1016/j.spa.2008.11.004zbMath1166.62078OpenAlexW2003413166MaRDI QIDQ2389230

Mathias Vetter, Mark Podolskij, Jean Jacod, Per Aslak Mykland, Ying-Ying Li

Publication date: 15 July 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.11.004

zbMATH Keywords

continuity consistency leverage effect stable convergence realized volatility Itô process discrete observation pre-averaging quarticity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44)

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