Zero-intelligence realized variance estimation.
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Publication:2430259
DOI10.1007/s00780-009-0120-1zbMath1222.62128OpenAlexW3123668291MaRDI QIDQ2430259
Jim Gatheral, Roel C. A. Oomen
Publication date: 6 April 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0120-1
Applications of statistics to economics (62P20) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24)
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