Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging
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Publication:6553232
DOI10.1515/SNDE-2021-0093MaRDI QIDQ6553232FDOQ6553232
Katja Ignatieva, Jun Chen, Vitali Alexeev
Publication date: 11 June 2024
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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