Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging

DOI10.1515/SNDE-2021-0093MaRDI QIDQ6553232FDO

Authors Vitali Alexeev, Jun Chen, Katja Ignatieva

Publication date 11 June 2024

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

zbMATH Keywords

high-frequency dataintegrated variancepre-averagingsampling scheme

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1106711 (Why is no real title available?)
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