Existence of endogenous sampling high frequency data

MaRDI QIDQ2990630zbMATH OpenFDO

Authors Hongmin Xiao, Li Ye

Publication date 10 August 2016

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)

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Cited in

(1)

• Realized volatility when sampling times are possibly endogenous

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