Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
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Publication:5413944
DOI10.1111/sjos.12019zbMath1349.62441arXiv1112.0939OpenAlexW2103362475MaRDI QIDQ5413944
Publication date: 2 May 2014
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1112.0939
covariationasymptotic equivalencemicrostructure noiseintegrated covolatilityspectral adaptive estimation
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