Volatility inference in the presence of both endogenous time and microstructure noise
From MaRDI portal
Publication:2447650
DOI10.1016/j.spa.2013.04.002zbMath1285.62123arXiv1303.5809MaRDI QIDQ2447650
Xinghua Zheng, Zhiyuan Zhang, Ying-Ying Li
Publication date: 28 April 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.5809
market microstructure noise; realized volatility; time endogeneity; integrated volatility; Itô processes
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M09: Non-Markovian processes: estimation
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