Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise
DOI10.1137/090756363zbMath1190.62182OpenAlexW2137477111MaRDI QIDQ3567037
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Publication date: 10 June 2010
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/268756/1/75636.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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