Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
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Publication:4612494
DOI10.3982/ECTA12501zbMath1410.62208OpenAlexW3121566120MaRDI QIDQ4612494
Publication date: 31 January 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta12501
microstructureconsistencyrobust estimationleverage effectsemimartingalerealized volatilityvolatility of volatilitydiscrete observationedge effectobserved informationasynchronous timesstandard errorirregular timestwo-scales estimation
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10)
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