Are volatility estimators robust with respect to modeling assumptions?

DOI10.3150/07-BEJ6067zbMath1129.62097arXiv0709.0440OpenAlexW3105648670MaRDI QIDQ2469643

Per Aslak Mykland, Ying-Ying Li

Publication date: 6 February 2008

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.0440

zbMATH Keywords

robustnessmartingalelocal timemeasurement errorsubsamplingbias correctionmarket microstructurerealized volatilitytwo scales realized volatility (TSRV)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalizations of martingales (60G48) Applications of statistics to physics (62P35)

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