Estimation of quarticity with high-frequency data
From MaRDI portal
Publication:2873034
DOI10.1080/14697688.2012.664936zbMath1278.91197MaRDI QIDQ2873034
Simona Sanfelici, Maria Elvira Mancino
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.disei.unifi.it/upload/sub/pubblicazioni/repec/flo/workingpapers/storicodimad/2011/dimadwp2011-06.pdf
91B70: Stochastic models in economics
91B60: Trade models
91G80: Financial applications of other theories
Related Items
High-frequency volatility of volatility estimation free from spot volatility estimates, Testing for jumps based on high-frequency data: a method exploiting microstructure noise, A calibration procedure for analyzing stock price dynamics in an agent-based framework, Efficient asymptotic variance reduction when estimating volatility in high frequency data, Estimation for high-frequency data under parametric market microstructure noise, Estimation of the stochastic leverage effect using the Fourier transform method, Asymptotic results for the Fourier estimator of the integrated quarticity
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