Existence of endogenous sampling high frequency data

zbMATH Open1349.62537MaRDI QIDQ2990630FDOQ2990630

Authors: Hongmin Xiao, Li Ye 

Publication date: 10 August 2016

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zbMATH Keywords

realized volatilityendogenoushigh frequency data

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cited In (1)

• Realized volatility when sampling times are possibly endogenous

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