Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
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Cites work
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Cited in
(48)- Laplace Estimator of Integrated Volatility When Sampling Times Are Endogenous
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- Estimating the quadratic variation spectrum of noisy asset prices using generalized flat-top realized kernels
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- Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
- Estimating the integrated volatility with tick observations
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- Subsampling high frequency data
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- Optimal nonparametric range-based volatility estimation
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