scientific article; zbMATH DE number 936411

MaRDI QIDQ4896006zbMATH OpenFDO

Authors Jean Jacod

Publication date 12 May 1997

zbMATH Keywords

local timeround-off errorestimation of the Brownian variance

Mathematics Subject Classification ID

Brownian motion (60J65) General theory of stochastic processes (60G07)

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Cited in

(9)

• scientific article; zbMATH DE number 6719573 (Why is no real title available?)
• Are volatility estimators robust with respect to modeling assumptions?
• Disentangling Sources of High Frequency Market Microstructure Noise
• Ultra high frequency volatility estimation with dependent microstructure noise
• Microstructure noise in the continuous case: the pre-averaging approach
• High frequency market microstructure noise estimates and liquidity measures
• The quadratic variation of Brownian motion on a time scale
• IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
• Central limit theorem for the realized volatility based on tick time sampling

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