A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Year of publication: |
April 2018
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Authors: | Li, Yingying ; Zhang, Zhiyuan ; Li, Yichu |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 203.2018, 2, p. 187-222
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Subject: | High-frequency data | Rounding errors | Market microstructure noise | Integrated volatility | Realized volatility | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics |
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