A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises

DOI10.1002/ASMB.2352MaRDI QIDQ6574582FDOQ6574582

Authors: Yinfen Tang, Zhiyuan Zhang 

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

high-frequency datamarket microstructure noiseintegrated volatilityprice discretenesscombined filters

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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Cited In (1)

• Disentangling Sources of High Frequency Market Microstructure Noise

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