Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging
From MaRDI portal
Publication:6338040
DOI10.1017/S0266466622000470arXiv2004.01865MaRDI QIDQ6338040
Bei Wu, José E. Figueroa-López
Publication date: 4 April 2020
Full work available at URL: https://doi.org/10.1017/s0266466622000470
62P20: Applications of statistics to economics
