Quasi-maximum likelihood estimation of volatility with high frequency data
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Publication:736702
DOI10.1016/J.JECONOM.2010.07.002zbMATH Open1431.62485OpenAlexW3124959603MaRDI QIDQ736702FDOQ736702
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.07.002
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quasi-maximum likelihood estimatorstochastic volatilitymarket microstructure noiseintegrated volatilityrealized kernels
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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