Efficient estimation of integrated volatility incorporating trading information
From MaRDI portal
Publication:311638
DOI10.1016/j.jeconom.2016.05.017zbMath1443.62363MaRDI QIDQ311638
Shangyu Xie, Xinghua Zheng, Ying-Ying Li
Publication date: 13 September 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.017
efficiency; high frequency data; market microstructure noise; realized volatility; integrated volatility
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M09: Non-Markovian processes: estimation
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