Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
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Publication:522057
DOI10.1007/s00780-017-0325-7zbMath1379.62061OpenAlexW2600017672MaRDI QIDQ522057
Publication date: 13 April 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-017-0325-7
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Martingales with continuous parameter (60G44)
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