Measuring the relevance of the microstructure noise in financial data

DOI10.1016/j.spa.2013.04.003zbMath1417.62237OpenAlexW3122952325MaRDI QIDQ2447651

Cecilia Mancini

Publication date: 28 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.spa.2013.04.003

zbMATH Keywords

noisy datathreshold estimationintegrated variancesemimartingales with jumpsfinancial asset pricestest to select optimal sampling frequency

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

Related Items

Truncated realized covariance when prices have infinite variation jumps ⋮ Optimum thresholding using mean and conditional mean squared error

Cites Work

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