Inference from high-frequency data: a subsampling approach
DOI10.1016/j.jeconom.2016.07.010zbMath1422.62308OpenAlexW3125292062MaRDI QIDQ515131
N. Thamrongrat, Mark Podolskij, Kim Christensen, Bezirgen Veliyev
Publication date: 10 March 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/135886974/Christensen_2017_Inference_from_high_frequency_data.pdf
stochastic volatilityhigh-frequency datasubsamplingmicrostructure noisebipower variationpre-averagingpositive semi-definite estimation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Diffusion processes (60J60)
Related Items (8)
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