Robust estimation of integrated and spot volatility

DOI10.1016/J.JECONOM.2023.105614MaRDI QIDQ6854617zbMATH OpenFDO

Authors Z. Merrick Li, Oliver Linton

Publication date 24 February 2026

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

microstructure noiseserial dependenceintegrated volatilitypre-averagingspot volatility

Mathematics Subject Classification ID

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

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